A look inside AMLF: What traded and who benefited |
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| Authors: | Ozgur Akay Mark D Griffiths Vladimir Kotomin Drew B Winters |
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| Institution: | 1. Office of Financial Research, US Department of the Treasury, Washington, DC 20220, United States;2. Department of Personal Financial Planning, Texas Tech University, Lubbock, TX 79409, United States;3. Department of Finance, Miami University, Oxford, OH 45056, United States;4. Department of Finance, Insurance, and Law, Illinois State University, Normal, IL 61790, United States;5. Department of Finance, Texas Tech University, Lubbock, TX 79409, United States |
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| Abstract: | The Federal Reserve’s AMLF program was designed to provide liquidity to money market funds (MMFs). Between September 2008 and May 2009, the program made $217 billion in non-recourse loans to depository institutions and bank holding companies to purchase asset-backed commercial paper from MMFs. JP Morgan and State Street dominated the program, accounting for over 90% of all loans made. Our analysis suggests that JP Morgan exhibited more self-dealing behavior than State Street. We find that JP Morgan and State Street earned economically and statistically significant cumulative returns of 2.28% and 2.49% (respectively) over the first seven days of the program after controlling for market returns and heteroscedasticity. |
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| Keywords: | E58 G01 G20 |
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