NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Rollover Risk and Market Freezes

Viral V. Acharya, Douglas Gale, Tanju Yorulmazer

NBER Working Paper No. 15674
Issued in January 2010

---- Acknowledgements -----

We are grateful to Dave Backus, Alberto Bisin, Patrick Bolton, Markus Brunnermeier, John Geanakoplos, Ivalina Kalcheva, Todd Keister, Arvind Krishnamurthy, Michael Manove, Martin Oehmke, Onur Ozgur, Matt Pritsker, S. "Vish" Viswanathan, Wei Xiong, Andy Winton, and to the participants of the Asset Pricing Workshop at AEA 2010, NBER Asset Pricing Fall 2009, Gerzensee 2009, Bundesbank-CEPR-CFS Conference, the Central Bank Liquidity Tools Conference at the New York Fed, the Bank of Korea International Conference 2009, the FIRS 2009 Conference in Prague, the WFA 2009 Meetings and seminar participants at Carnegie Mellon University, New York Fed, New York University, MIT, the EUI and the Ca' Foscari University of Venice for useful suggestions. All errors remain our own. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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