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

被引：80

作者：

Duygan-Bump, Burcu ^{[1
]}

Parkinson, Patrick ^{[1
]}

Rosengren, Eric ^{[2
]}

Suarez, Gustavo A. ^{[1
]}

Willen, Paul ^{[2
]}

机构：

[1] Fed Reserve Board, Washington, DC USA

[2] Fed Reserve Bank Boston, Boston, MA USA

来源：

JOURNAL OF FINANCE | 2013年 / 68卷 / 02期

关键词：

INFERENCE;

D O I：

10.1111/jofi.12011

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：715 / 737

页数：23