NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Systemic Risk and the Refinancing Ratchet Effect

Amir E. Khandani, Andrew W. Lo, Robert C. Merton

NBER Working Paper No. 15362
Issued in September 2009

---- Acknowledgements -----

The views and opinions expressed in this article are those of the authors only, and do not necessarily represent the views and opinions of AlphaSimplex Group, Harvard University, MIT, any of their affiliates and employees, or any of the individuals acknowledged below. We thank Jim Kennedy for sharing his data, and Terry Belton, Conan Crum, Jayna Cummings, Arnout Eikeboom, David Geltner, Will Goetzmann, Jacob Goldfield, Ben Golub, Matt Jozoff, Jim Kennedy, Atif Mian, Amir Sufi, Bill Wheaton, Matt Zames and participants at the Market Design and Structure Workshop at the Santa Fe Institute for helpful comments and discussion. Research support from the MIT Laboratory for Financial Engineering and its sponsors is gratefully acknowledged. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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