A look inside AMLF: What traded and who benefited

Akay, Ozgur (Ozzy), Mark D. Griffiths, Vladimir Kotomin and Drew B. Winters

Journal of Banking & Finance, 2013, vol. 37, issue 5, 1643-1657

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.

Keywords: Global financial crisis; Money market funds; Federal Reserve; AMLF (search for similar items in EconPapers)
JEL-codes: E58 G01 G20 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:5:p:1643-1657

DOI: 10.1016/j.jbankfin.2012.12.010

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