TAF Effect on Liquidity Risk Exposure

Stefano Puddu () and Andreas Waelchli

No 15-07, IRENE Working Papers from IRENE Institute of Economic Research

Abstract: Using a unique bank-level dataset, we assess the impact of the Term Auction Facility program on bank liquidity risk. The change in the US housing price index at state levels between 2002:Q1 and 2006:Q3 is the exclusion restriction to control for potential selection bias. On average, TAF banks exhibit higher ex ante levels of liquidity risk and they drastically reduce funding liquidity risk in the periods after the first time they received TAF funds. TAF banks show larger reductions in liquidity and they are more likely to be headquartered in US states that experienced sharper housing price appreciation before 2007.

Keywords: Term Auction Facility; Liquidity Risk; Financial Crisis; Unconventional Monetary Policies (search for similar items in EconPapers)
JEL-codes: G21 G28 G32 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2015-05
New Economics Papers: this item is included in nep-cfn and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:irn:wpaper:15-07

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