Lucian Taylor (Wharton School, University of Pennsylvania) presenting 'Dynamic Debt Runs: Evidence from a Structural Estimation'. This paper uses data from the 2007 asset-backed commercial paper (ABCP) crisis to estimate a dynamic model of debt runs. The model features long-term investment financed with dispersedly held, short-term debt with staggered maturities. Yields change endogenously over time, which introduces dilution risk: lenders demand high yields to compensate them for being diluted by future lenders, which makes runs more likely. This model of fundamental-driven runs fits several features of the data, including the ten-fold increase in yield spreads leading up to runs, the high probability of recovering from a run, the positive relation between yield spreads and future runs, and the positive relation between yield levels and yield volatility. The authors measure the effectiveness of several policy interventions designed to prevent runs and find that interventions targeting asset liquidity and conduit leverage are most effective.