Liquidity Restrictions, Runs, and Central Bank Interventions: Evidence from Money Market Funds

• 成果类型: Article
• 署名作者: Li, Lei; Li, Yi; Macchiavelli, Marco; Zhou, Xing (Alex)
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab065
• 发表日期: 2021
• 页码: 5402
• 关键词: COMMERCIAL PAPER; Financial crisis; LAST-RESORT; lender; RISK; safe

摘要

Liquidity restrictions on investors, like the redemption gates and liquidity fees introduced in the 2016 money market fund (MMF) reform, are meant to improve financial stability. However, we find evidence that such liquidity restrictions exacerbated the run on prime MMFs during the COVID-19 crisis. Our results indicate that gates and fees could generate strategic complementarities among investors in crisis times. Severe outflows from prime MMFs led the Federal Reserve to intervene with the Money Market Mutual Fund Liquidity Facility (MMLF). Using MMLF microdata, we show how the provision of liquidity of last resort stabilized prime funds.