Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/191478
Year of Publication: 
2015
Series/Report no.: 
IRENE Working Paper No. 15-07
Publisher: 
University of Neuchâtel, Institute of Economic Research (IRENE), Neuchâtel
Abstract: 
Using a unique bank-level dataset, we assess the impact of the Term Auction Facility program on bank liquidity risk. The change in the US housing price index at state levels between 2002:Q1 and 2006:Q3 is the exclusion restriction to control for potential selection bias. On average, TAF banks exhibit higher ex ante levels of liquidity risk and they drastically reduce funding liquidity risk in the periods after the rst time they received TAF funds. TAF banks show larger reductions in liquidity and they are more likely to be headquartered in US states that experienced sharper housing price appreciation before 2007.
Subjects: 
Term Auction Facility
Liquidity Risk
Financial Crisis
Unconventional Monetary Policies
JEL: 
G21
G28
G32
Document Type: 
Working Paper

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