Why did the failure of Lehman Brothers make the financial crisis dramatically worse? Our answer is that the financial crisis was a process of a build-up of risk during the crisis prior to the Lehman failure. During the crisis market participants tried to preserve an option to withdraw by shortening maturities — the “flight from maturity”. We show that the flight from maturity was manifested in a steepening of the term structures of spreads in money markets. With increasingly short maturities, lenders created the possibility of fast exit. The failure of Lehman Brothers was the tipping point of this build-up of systemic fragility. A crisis is a dynamic process in which “tail risk” is endogenous.

为什么雷曼兄弟的倒闭使金融危机急剧恶化？我们的答案是，金融危机是在雷曼兄弟倒台之前的危机期间积累风险的过程。在危机期间，市场参与者试图通过缩短到期日（即“从到期日逃离”）来保留退出的选择。我们表明，从到期日的逃避表现为货币市场价差期限结构的加剧。随着到期日越来越短，贷方创造了快速退出的可能性。雷曼兄弟（Lehman Brothers）的失败是系统脆弱性累积的转折点。危机是一个动态过程，其中“尾巴风险”是内生的。