Many observers have argued that the fall in RMBS prices during the crisis was partly caused by fire sales. Using a unique dataset of RMBS transactions for insurance companies, we show evidence supportive of a role, at the transaction level, of forced sales that occurred at discounted prices relative to fundamentals, and find that the RMBS market behaved as a whole as would be expected in the presence of fire sales. We show that risk-sensitive capital requirements and mark-to-market accounting can jointly create incentives for financial institutions subject to adverse capital shocks to sell stressed securities.

中文翻译：

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RMBS市场有没有大甩卖？

许多观察家认为，危机期间RMBS价格下跌的部分原因是甩卖。使用保险公司的 RMBS 交易的独特数据集，我们展示了证据支持在交易层面上以相对于基本面的折扣价格发生的强制销售的作用，并发现 RMBS 市场的整体表现符合预期在大甩卖的情况下。我们表明，风险敏感的资本要求和按市值计价的会计可以共同激励受到不利资本冲击的金融机构出售压力证券。