collateral crises some reflections on the recent financial crisis

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1、19CollateralCrisesGARYB.GORTONANDGUILLERMOORDOÑEZ*Financialcrisesarehardtoexplainwithoutresortingtolargeshocks.Buttherecentcrisis,forexample,wasnottheresultofalargeshock.TheFinancialCrisisInquiryCommission(FCIC)Report(2011)notedthatwithrespecttosubprimemor

2、tgages,Overall,for2005to2007vintagetranchesofmortgage-backedsecuritiesoriginallyratedtriple-A,despitethemassdowngrades,onlyabout10percentofAlt-Aand4percentofsubprimesecuritieshadbeenmateriallyimpairedmeaningthatlosseswereimminentorhadalreadybeensufferedbyth

3、eendof2009(pp.22829).Park(2011)calculatestherealizedprincipallossesonthe$1.9trillionofAAA/Aaa-ratedsubprimebondsissuedbetween2004and2007tobe17basispointsasofFebruary2011.1Though*WethankFernandoAlvarez,HalCole,ToreEllingsen,KenFrench,MikhailGolosov,VeronicaG

4、uerrieri,ToddKeister,NobuKiyotaki,DavidK.Levine,GuidoLorenzoni,KazuhikoOhashi,MarioPascoa,VincenzoQuadrini,AdrianoRampini,AlpSimsek,AndreiShleifer,JavierSuarez,LauraVeldkamp,WarrenWeber,andseminarparticipantsatBerkeley,BostonCollege,ColumbiaGSB,Dartmouth,EI

5、EF,FederalReserveBoard,Maryland,MinneapolisFed,OhioState,Prince-ton,RichmondFed,Rutgers,Stanford,Wesleyan,WhartonSchool,Yale,theASUConferenceonFinancialIntermediationandPayments,theBankofJapanConferenceonRealandFinan-cialLinkageandMonetaryPolicy,the2011SEDM

6、eetingsatGhent,the11thFDICAnnualBankResearchConference,theTepper-LAEFConferenceonAdvancesinMacro-Finance,theRiksbankConferenceonBeliefsandBusinessCycles,the2ndBU/BostonFedConferenceonMacro-FinanceLinkages,TheAtlantaFedConferenceonMonetaryEconomics,theNBEREF

7、GgroupMeetingsinSanFrancisco,theBancodePortugal7thConferenceonMonetaryEco-nomics,andthe2013AEAMeetingsinSanDiegofortheircomments.WealsothankThomasBonczek,PauloCosta,andLeiXieforresearchassistance.Theauthorshavenothingtocurrentlydisclose,butGortonwasaconsult

8、anttoAIGFinancialProducts,19962008.1.Park(2011)examinedthetrusteereportsfromFebruary2011for88.6percentofthenotionalamountofAAAsubprimebondsissuedbetween2004and2007.Thefinalrealizedlossesonsub-primemortg