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

被引：17

作者：

Li, Lei ^{[1
]}

Li, Yi ^{[1
]}

Macchiavelli, Marco ^{[1
]}

Zhou, Xing ^{[1
]}

机构：

[1] Fed Reserve Board, Washington, DC 20551 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2021年 / 34卷 / 11期

关键词：

COMMERCIAL PAPER; FINANCIAL CRISIS; LAST-RESORT; LENDER; RISK; SAFE;

D O I：

10.1093/rfs/hhab065

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：5402 / 5437

页数：36

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