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Vintage and credit rating: what matters in the ABX data during the credit crunch?. (2009). Flavin, Thomas ; Dwyer, Gerald ; Dungey, Mardi.
In: Proceedings.
RePEc:fip:fedfpr:y:2009:i:jan:x:13.

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  1. Assessing the effectiveness of the Paulson teaser freezer Plan: Evidence from the ABX index. (2011). Carpenter, Robert ; Balla, Eliana ; Robinson, Breck L..
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:63:y:2011:i:5:p:392-411.

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  2. The financial crisis of 2008 in fixed income markets. (2009). Tkac, Paula ; Dwyer, Gerald.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2009-20.

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  3. The financial crisis of 2008 in fixed-income markets. (2009). Tkac, Paula ; Dwyer, Gerald.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:28:y:2009:i:8:p:1293-1316.

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References

References cited by this document

  1. Benmelech, E., Dlugosz, J., 2008. The alchemy of CDO credit ratings. Manuscript, Harvard University.

  2. Bhansali, V., Gingrich, R., Longstaï, F., 2008. Systemic credit risk: what is the market telling us?, manuscript, UCLA.
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  3. Blanco, R., Brennan, S., Marsh, I., 2005. An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps. Journal of Finance, 60 (5), 2255-2281.

  4. Brunnermeier, M.K., 2008. Deciphering the 2007-08 Liquidity and Credit Crunch. Journal of Economic Perspectives, forthcoming.

  5. Coval, J., Jubek, J., Staïord, E., 2008. The Economics of Structured Finance. Working paper 09-060, Harvard Business School.
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  6. Craig, S., Smith, R., Ng, S., 2008. Merrill aims to raise billions more: ïrm dumps mortgage assets as crisis drags on; another big write-down. Wall Street Journal, July 29.
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  7. DeMarzo, P., 2005. The pooling and tranching of securities: a model of informed intermediation, Review of Financial Studies, 18, 1-35.

  8. Dungey, M., Martin, V.L., 2007. Unravelling ïnancial market linkages during crises. Journal of Applied Econometrics, 22 (1), 89-119.

  9. Dungey, M., Pagan, A., Martin V., 2000. A Multivariate Latent Factor Decomposition of International Bond Yield Spreads. Journal of Applied Econometrics, 15, 697-715.

  10. Hu, J., 2007. Assessing the credit risk of CDOs backed by structured ïnance securities: rating analystsâ challenges and solutions. Available at SSRN: http://ssrn.com/abstract=1011184
    Paper not yet in RePEc: Add citation now
  11. Kiyotaki, N., Moore, J., 2002. Balance Sheet Contagion. American Economic Review, 92 (2), 46-50.

  12. Leland, H., Pyle, D., 1977. Information asymmetries, ïnancial structure and ïnancial intermediaries. Journal of Finance, 32, 371-387.
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  13. Longstaï, F. and A. Rajan (2008) An Empirical Analysis of the Pricing of Collateralized Debt Obligations, Journal of Finance, 63 (2), 529-563.

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