Dynamic debt runs and financial fragility: Evidence from the 2007 ABCP crisis
利用2007年资产支持商业票据危机数据，研究债务挤兑的决定因素。模型发现稀释风险使短期贷款人要求更高收益，导致挤兑更易发生，且挤兑对杠杆、资产价值和流动性高度敏感。
We use the 2007 asset-backed commercial paper (ABCP) crisis as a laboratory to study the determinants of debt runs. Our model features dilution risk: maturing short-term lenders demand higher yields in compensation for being diluted by future lenders, making runs more likely. The model explains the observed tenfold increase in yield spreads leading to runs and the positive relation between yield spreads and future runs. Results from structural estimation show that runs are very sensitive to leverage, asset values, and asset liquidity, but less sensitive to the degree of maturity mismatch, the strength of guarantees, and asset volatility.