Title

A Look inside AMLF: What Traded and Who Benefited

Authors

Ozgur Akay, US Department of the Treasury, Office of Financial Research
Mark D. Griffiths, Miami University - Oxford
Vladimir Kotomin, Illinois State UniversityFollow
Drew B. Winters, Texas Tech University

Document Type

Article

Publication Date

2013

Keywords

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

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.

Comments

This article was originally published in Journal of Banking and Finance 37, no. 5 (2013): 1643-57. https://doi.org/10.1016/j.jbankfin.2012.12.010.

Recommended Citation

Akay, Ozgur; Griffiths, Mark D.; Kotomin, Vladimir; and Winters, Drew B., "A Look inside AMLF: What Traded and Who Benefited" (2013). Faculty Publications - Finance, Insurance, and Law. 9.
https://ir.library.illinoisstate.edu/fpfil/9