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Gary B. Gorton 这哥们关于shadow banking system的论文有好多
The Panic of 2007 这篇是发表于2008年的 有提到这个话题
以下是摘要：
How did problems with subprime mortgages result in a systemic crisis, a panic? The ongoing Panic of 2007 is due to a loss of information about the location and size of risks of loss due to default on a number of interlinked securities, special purpose vehicles, and derivatives, all related to subprime mortgages. Subprime mortgages are a financial innovation designed to provide home ownership opportunities to riskier borrowers. Addressing their risk required a particular design feature, linked to house price appreciation. Subprime mortgages were then financed via securitization, which in turn has a unique design reflecting the subprime mortgage design. Subprime securitization tranches were often sold to CDOs, which were, in turn, often purchased by market value off-balance sheet vehicles. Additional subprime risk was created (though not on net) with derivatives. When the housing price bubble burst, this chain of securities, derivatives, and off-balance sheet vehicles could not be penetrated by most investors to determine the location and size of the risks. The introduction of the ABX indices, synthetics related to portfolios of subprime bonds, in 2006 created common knowledge about the effects of these risks by providing centralized prices and a mechanism for shorting. I describe the relevant securities, derivatives, and vehicles and provide some very simple, stylized, examples to show: (1) how asymmetric information between the sell-side and the buy-side was created via complexity; (2) how the chain of interlinked securities was sensitive to house prices; (3) how the risk was spread in an opaque way; and (4) how the ABX indices allowed information to be aggregated and revealed. I argue that these details are at the heart of the answer to the question of the origin of the Panic of 2007.
以下是一篇发表于2009的，也提到了这个话题，一并附上
Slapped in the Face by the Invisible Hand: Banking and the Panic of 2007
摘要：
The “shadow banking system,” at the heart of the current credit crisis is, in fact, a real banking system –and is vulnerable to a banking panic. Indeed, the events starting in August 2007 are a banking panic. Abanking panic is a systemic event because the banking system cannot honor its obligations and isinsolvent. Unlike the historical banking panics of the 19th and early 20th centuries, the current bankingpanic is a wholesale panic, not a retail panic. In the earlier episodes, depositors ran to their banks anddemanded cash in exchange for their checking accounts. Unable to meet those demands, the bankingsystem became insolvent. The current panic involved financial firms “running” on other financial firmsby not renewing sale and repurchase agreements (repo) or increasing the repo margin (“haircut”),forcing massive deleveraging, and resulting in the banking system being insolvent. The earlier episodeshave many features in common with the current crisis, and examination of history can help understandthe current situation and guide thoughts about reform of bank regulation. New regulation can facilitatethe functioning of the shadow banking system, making it less vulnerable to panic.
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