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Nellie Liang, Director of Federal Reserve Board's Office of Financial Stability Policy & Researc

时间: 2014-03-28 13:19 来源: 作者: 浏览量:2139 字号: 打印

Topic: The Evolution of a Financial Crisis: Collapse of the Asset-Backed Commercial Paper Market

Speaker: Nellie Liang, Director, Federal Reserve Board’s Office of Financial Stability Policy & Research

Date: March 28th, 2014 (Fri.)

Time: 14:00-15:30

Location: Building 4, Room 101

Language: English

Abstract:

This paper documents “runs” on asset-backed commercial paper (ABCP) programs in 2007. We find that one-third of programs experienced a run within weeks of the onset of the ABCP crisis and that runs, as well as yields and maturities for new issues were related to program-level and macro-financial risks. These findings are consistent with the asymmetric information framework used to explain banking panics, have implications for commercial paper investors’ degree of risk intolerance, and inform empirical predictions of recent papers on dynamic coordination failures.

About the speaker:

Nellie Liang is director of Federal Reserve Board’s Office of Financial Stability Policy & Research, appointed in 2010. Liang joined the Board in 1986, acting most recently as a senior associate director in the Division of Research and Statistics. She was a key participant in crafting the Federal Reserve's response to the financial crisis and helped lead the Supervisory Capital Assessment Program, which helped increase public confidence in the banking system in 2009. Her fields of interest are financial market, banking and financial institutions and corporate finance.

Nellie Liang received her Ph.D. and M.A. in Economics from the University of Maryland in 1986 and 1984. Her current research topics focus on macro-prudential regulation and systemic risk. She has authored articles on financial crisis, employment risk and payout policy, and her research has been published in several leading academic journals, such as Journal of Financial Economics, Journal of Finance and Journal of Banking & Finance.