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A look inside AMLF: What traded and who benefited

  • Akay, Ozgur (Ozzy)
  • Griffiths, Mark D.
  • Kotomin, Vladimir
  • Winters, Drew B.
Registered author(s):

    The Federal Reserve’s AMLF program was designed to provide liquidity to money market funds (MMFs). Between September 2008 and May 2009, the program made $217 billion in non-recourse loans to depository institutions and bank holding companies to purchase asset-backed commercial paper from MMFs. JP Morgan and State Street dominated the program, accounting for over 90% of all loans made. Our analysis suggests that JP Morgan exhibited more self-dealing behavior than State Street. We find that JP Morgan and State Street earned economically and statistically significant cumulative returns of 2.28% and 2.49% (respectively) over the first seven days of the program after controlling for market returns and heteroscedasticity.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378426613000198
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 37 (2013)
    Issue (Month): 5 ()
    Pages: 1643-1657

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    Handle: RePEc:eee:jbfina:v:37:y:2013:i:5:p:1643-1657
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    1. Viral V. Acharya & Philipp Schnabl & Gustavo Suarez, 2010. "Securitization without risk transfer," NBER Working Papers 15730, National Bureau of Economic Research, Inc.
    2. Tobias Adrian & Hyun Song Shin, 2008. "Liquidity and leverage," Staff Reports 328, Federal Reserve Bank of New York.
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    6. Mark D. Griffiths & Vladimir Kotomin & Drew B. Winters, 2011. "The Federal Reserve and the 2007–2009 Financial Crisis: Treating a Virus with Antibiotics? Evidence from the Commercial Paper Market," The Financial Review, Eastern Finance Association, vol. 46(4), pages 541-567, November.
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    8. Ogden, Joseph P., 1987. "The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(03), pages 329-343, September.
    9. Dan Covitz & Chris Downing, 2007. "Liquidity or Credit Risk? The Determinants of Very Short-Term Corporate Yield Spreads," Journal of Finance, American Finance Association, vol. 62(5), pages 2303-2328, October.
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