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Journal of Finance Vol. 68 No. 2 2013

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

Burcu Duygan-Bump; PATRICK PARKINSON1; Eric Rosengren2; Gustavo A. Suarez; Paul Willen3,4,2

1 Government of the United States of America · 2 Federal Reserve Bank of Boston · 3 Federal Reserve · 4 National Bureau of Economic Research

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Abstract

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 interventions—the 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.

DOI
10.1111/jofi.12011
Volume
68
Issue
2
Pages
715-737
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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