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A look inside AMLF: What traded and who benefited

Author

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

Abstract

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.

Suggested Citation

  • Akay, Ozgur (Ozzy) & Griffiths, Mark D. & Kotomin, Vladimir & Winters, Drew B., 2013. "A look inside AMLF: What traded and who benefited," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1643-1657.
  • Handle: RePEc:eee:jbfina:v:37:y:2013:i:5:p:1643-1657
    DOI: 10.1016/j.jbankfin.2012.12.010
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    References listed on IDEAS

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    1. Richard G. Anderson & Charles S. Gascon, 2009. "The commercial paper market, the Fed, and the 2007-2009 financial crisis," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 589-612.
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    3. John B. Taylor & John C. Williams, 2009. "A black swan in the money market," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
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    5. 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.
    6. Adrian, Tobias & Song Shin, Hyun, 2010. "Financial Intermediaries and Monetary Economics," Handbook of Monetary Economics,in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 12, pages 601-650 Elsevier.
    7. Acharya, Viral V. & Schnabl, Philipp & Suarez, Gustavo, 2013. "Securitization without risk transfer," Journal of Financial Economics, Elsevier, vol. 107(3), pages 515-536.
    8. 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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    10. Mark Griffiths & Drew Winters, 1997. "On a Preferred Habitat for Liquidity at the Turn-of-the-Year: Evidence from the Term-Repo Market," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(1), pages 21-38, August.
    11. Kolb, Robert W., 2011. "The Financial Crisis of Our Time," OUP Catalogue, Oxford University Press, number 9780199730551.
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    Cited by:

    1. Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2013. "Federal Reserve financial crisis lending programs and bank stock returns," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3819-3829.
    2. repec:kap:rqfnac:v:49:y:2017:i:2:d:10.1007_s11156-016-0600-2 is not listed on IDEAS

    More about this item

    Keywords

    Global financial crisis; Money market funds; Federal Reserve; AMLF;

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G01 - Financial Economics - - General - - - Financial Crises
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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