The Subprime Panic

被引：100

作者：

Gorton, Gary ^{[1
,2
]}

机构：

[1] Yale Univ, Sch Management, New Haven, CT 06520 USA

[2] NBER, Cambridge, MA 02138 USA

来源：

EUROPEAN FINANCIAL MANAGEMENT | 2009年 / 15卷 / 01期

关键词：

banking panic; credit crisis; securitisation; subprime mortgages; ABX index; credit derivatives; G1; G2; PRICE VOLATILITY; CENTRAL BANKING; CONTAGION; STOCK;

D O I：

10.1111/j.1468-036X.2008.00473.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Understanding the ongoing credit crisis or panic requires understanding the designs of a number of interlinked securities, special purpose vehicles, and derivatives, all related to subprime mortgages. I describe the relevant securities, derivatives, and vehicles to show: (1) how the chain of interlinked securities was sensitive to house prices; (2) how asymmetric information was created via complexity; (3) how the risk was spread in an opaque way; and (4) how trade in the ABX indices (linked to subprime bonds) allowed information to be aggregated and revealed. These details are at the heart of the origin of the Panic of 2007. The events of the panic are described.

引用

页码：10 / 46

页数：37