Financial Law and Risk Control
Securitized Banking and the Run on Repo
Gary Gorton and Andrew Metrick
- Year
- 2012
- Venue
- Journal of Financial Economics
- Level
- Intermediate
Summary
Interprets the 2007-2008 panic as a run on the repo market supporting securitized banking. Using data on securitized bonds, repo rates, haircuts, and credit spreads, the paper traces how concerns about collateral value and counterparty risk transmitted stress beyond subprime housing assets.
Citation
Gary Gorton and Andrew Metrick. "Securitized Banking and the Run on Repo." Journal of Financial Economics, 2012.
DOI: 10.1016/j.jfineco.2011.03.016
BibTeX
@article{Gorton2012Securitized,
title = {Securitized Banking and the Run on Repo},
author = {Gary Gorton and Andrew Metrick},
year = {2012},
journal = {Journal of Financial Economics},
doi = {10.1016/j.jfineco.2011.03.016},
url = {https://doi.org/10.1016/j.jfineco.2011.03.016}
}