How Effective Were the Federal Reserve Emergency Liquidity Facilities? Evidence from the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility

• 成果类型: Article
• 署名作者: Duygan-Bump, Burcu; Parkinson, Patrick; Rosengren, Eric; Suarez, Gustavo A.; Willen, Paul
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve Bank - Boston
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12011
• 发表日期: 2013
• 页码: 715-737
• 关键词: inference

摘要

The events following Lehman's failure in 2008 and the current turmoil emanating from Europe highlight the structural vulnerabilities of short-term credit markets and the role of central banks as back-stop liquidity providers. The Federal Reserve's response to financial disruptions in the United States importantly included the creation of liquidity facilities. Using a differences-in-differences approach, we evaluate one of the most unusual of these interventionsthe Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility. We find that this facility helped stabilize asset outflows from money market funds and reduced asset-backed commercial paper yields significantly.