Revenge of the Steamroller: ABCP as a Window on Risk Choices


  • International Finance Discussion Papers


  • We empirically examine financial institutions' motivations to take systematic bad-tail risk in the form of sponsorship of credit-arbitrage asset-backed commercial paper vehicles. A run on debt issued by such vehicles played a key role in causing and propagating the liquidity crisis that began in the summer of 2007. We find evidence consistent with important roles for both owner-manager agency problems and government-induced distortions, especially government control or ownership of banks.

fecha de publicación

  • 2013

Líneas de investigación

  • Bank Runs
  • Commercial Paper
  • Financial Crisis
  • Risk Decisions
  • Systemic Risk


  • 1076