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