The second type of case in which the predictions of the flight-to-quality and superportfolio explanations differ is the minority of arbitrage positions in which LTCM held the more liquid instrument and was short the less liquid one (the swap-spread example discussed in appendix G is an example of this kind of situation). In such a situation, the flight-to-quality interpretation predicts a rising spread; the superportfolio explanation predicts a more slowly rising, or possibly even a falling, spread.

Donald MacKenzie, An Engine, Not a Camera, loc. 1078