The U.S. Money Market and the Term Auction Facility in the Financial Crisis of 2007–2009
研究了金融危机期间美国银行间货币市场利率飙升的原因，发现宏观不确定性和抵押贷款违约风险推高了对手方风险溢价，而美联储的定期拍卖工具主要通过缓解银行流动性担忧来减轻市场压力，但对对手方风险溢价影响有限。
The interbank money market in the United States and Europe became turbulent during the financial crisis of 2007-–2009, with the counterparty default risk premiums and liquidity premiums of short-term financing among major financial institutions rising sharply to unprecedented levels. Using various measures of macroeconomic and financial risks, I find that the surges in counterparty risk premiums were predominantly driven by heightened uncertainties about the macroeconomy and financial market, as well as underlying mortgage default risks. The new liquidity facility that the Federal Reserve established, the Term Auction Facility, significantly relieved the strains in the money market, primarily through lowering banks' liquidity concerns. Its effect on the counterparty risk premiums, however, has been quite limited. © 2011 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.