Table 4. Open in new tab Do redemptions...

Dependent variable: Daily fund percentage flow
Crisis $$\times$$ DLA(⁠ $$\leq$$ 20)	0.203	0.242	0.0810	0.135
	(0.140)	(0.147)	(0.158)	(0.158)
Crisis $$\times$$ DLA(20-30)	0.177^*	0.206^*	0.0752	0.118
	(0.0984)	(0.103)	(0.125)	(0.122)
Crisis $$\times$$ DLA(⁠ $$>$$ 30)	0.123^*	0.150^**	0.0444	0.0829
	(0.0672)	(0.0716)	(0.0880)	(0.0909)
Crisis $$\times$$ WLA(⁠ $$\leq$$ 40)			0.294^**	0.259^**
			(0.111)	(0.119)
Crisis $$\times$$ WLA(40-50)			0.254^**	0.222^*
			(0.112)	(0.115)
Crisis $$\times$$ WLA(⁠ $$>$$ 50)			0.221^**	0.196^**
			(0.0875)	(0.0937)
Adj. $$R^2$$	.168	.248	.175	.254
Obs.	1,018	1,018	1,018	1,018
Lagged dependent variable	Yes	Yes	Yes	Yes
Controls	Yes	Yes	Yes	Yes
Day FEs		Yes		Yes
$$p$$ -value: Crisis $$\times$$ L = Crisis $$\times$$ M (DLA)	.70	.62	.94	.82
$$p$$ -value: Crisis $$\times$$ L = Crisis $$\times$$ H (DLA)	.36	.31	.69	.56
$$p$$ -value: Crisis $$\times$$ L = Crisis $$\times$$ M (WLA)	N/A	N/A	.01	.05
$$p$$ -value: Crisis $$\times$$ L = Crisis $$\times$$ H (WLA)	N/A	N/A	.02	.05

Dependent variable: Daily fund percentage flow
Crisis $$\times$$ DLA(⁠ $$\leq$$ 20)	0.203	0.242	0.0810	0.135
	(0.140)	(0.147)	(0.158)	(0.158)
Crisis $$\times$$ DLA(20-30)	0.177^*	0.206^*	0.0752	0.118
	(0.0984)	(0.103)	(0.125)	(0.122)
Crisis $$\times$$ DLA(⁠ $$>$$ 30)	0.123^*	0.150^**	0.0444	0.0829
	(0.0672)	(0.0716)	(0.0880)	(0.0909)
Crisis $$\times$$ WLA(⁠ $$\leq$$ 40)			0.294^**	0.259^**
			(0.111)	(0.119)
Crisis $$\times$$ WLA(40-50)			0.254^**	0.222^*
			(0.112)	(0.115)
Crisis $$\times$$ WLA(⁠ $$>$$ 50)			0.221^**	0.196^**
			(0.0875)	(0.0937)
Adj. $$R^2$$	.168	.248	.175	.254
Obs.	1,018	1,018	1,018	1,018
Lagged dependent variable	Yes	Yes	Yes	Yes
Controls	Yes	Yes	Yes	Yes
Day FEs		Yes		Yes
$$p$$ -value: Crisis $$\times$$ L = Crisis $$\times$$ M (DLA)	.70	.62	.94	.82
$$p$$ -value: Crisis $$\times$$ L = Crisis $$\times$$ H (DLA)	.36	.31	.69	.56
$$p$$ -value: Crisis $$\times$$ L = Crisis $$\times$$ M (WLA)	N/A	N/A	.01	.05
$$p$$ -value: Crisis $$\times$$ L = Crisis $$\times$$ H (WLA)	N/A	N/A	.02	.05

Table 4.

Do redemptions accelerate when DLA is closer to 10

$$\%$$

Dependent variable: Daily fund percentage flow
	(1)	(2)	(3)	(4)
Crisis $$\times$$ DLA(⁠ $$\leq$$ 20)	0.203	0.242	0.0810	0.135
	(0.140)	(0.147)	(0.158)	(0.158)
Crisis $$\times$$ DLA(20-30)	0.177^*	0.206^*	0.0752	0.118
	(0.0984)	(0.103)	(0.125)	(0.122)
Crisis $$\times$$ DLA(⁠ $$>$$ 30)	0.123^*	0.150^**	0.0444	0.0829
	(0.0672)	(0.0716)	(0.0880)	(0.0909)
Crisis $$\times$$ WLA(⁠ $$\leq$$ 40)			0.294^**	0.259^**
			(0.111)	(0.119)
Crisis $$\times$$ WLA(40-50)			0.254^**	0.222^*
			(0.112)	(0.115)
Crisis $$\times$$ WLA(⁠ $$>$$ 50)			0.221^**	0.196^**
			(0.0875)	(0.0937)
Adj. $$R^2$$	.168	.248	.175	.254
Obs.	1,018	1,018	1,018	1,018
Lagged dependent variable	Yes	Yes	Yes	Yes
Controls	Yes	Yes	Yes	Yes
Day FEs		Yes		Yes
$$p$$ -value: Crisis $$\times$$ L = Crisis $$\times$$ M (DLA)	.70	.62	.94	.82
$$p$$ -value: Crisis $$\times$$ L = Crisis $$\times$$ H (DLA)	.36	.31	.69	.56
$$p$$ -value: Crisis $$\times$$ L = Crisis $$\times$$ M (WLA)	N/A	N/A	.01	.05
$$p$$ -value: Crisis $$\times$$ L = Crisis $$\times$$ H (WLA)	N/A	N/A	.02	.05

Dependent variable: Daily fund percentage flow
	(1)	(2)	(3)	(4)
Crisis $$\times$$ DLA(⁠ $$\leq$$ 20)	0.203	0.242	0.0810	0.135
	(0.140)	(0.147)	(0.158)	(0.158)
Crisis $$\times$$ DLA(20-30)	0.177^*	0.206^*	0.0752	0.118
	(0.0984)	(0.103)	(0.125)	(0.122)
Crisis $$\times$$ DLA(⁠ $$>$$ 30)	0.123^*	0.150^**	0.0444	0.0829
	(0.0672)	(0.0716)	(0.0880)	(0.0909)
Crisis $$\times$$ WLA(⁠ $$\leq$$ 40)			0.294^**	0.259^**
			(0.111)	(0.119)
Crisis $$\times$$ WLA(40-50)			0.254^**	0.222^*
			(0.112)	(0.115)
Crisis $$\times$$ WLA(⁠ $$>$$ 50)			0.221^**	0.196^**
			(0.0875)	(0.0937)
Adj. $$R^2$$	.168	.248	.175	.254
Obs.	1,018	1,018	1,018	1,018
Lagged dependent variable	Yes	Yes	Yes	Yes
Controls	Yes	Yes	Yes	Yes
Day FEs		Yes		Yes
$$p$$ -value: Crisis $$\times$$ L = Crisis $$\times$$ M (DLA)	.70	.62	.94	.82
$$p$$ -value: Crisis $$\times$$ L = Crisis $$\times$$ H (DLA)	.36	.31	.69	.56
$$p$$ -value: Crisis $$\times$$ L = Crisis $$\times$$ M (WLA)	N/A	N/A	.01	.05
$$p$$ -value: Crisis $$\times$$ L = Crisis $$\times$$ H (WLA)	N/A	N/A	.02	.05

The sample includes only institutional prime MMFs. The sample spans from February 6, 2020, to March 20, 2020, with

$$Crisis$$

equal to one from March 9 to March 20. The dependent variable is the daily percentage change in fund AUM on day

$$t$$

⁠, winsorized at the 0.5

$$\%$$

and 99.5

$$\%$$

levels.

$$DLA$$

is the share of daily liquid assets in total assets (expressed as a percentage), as of day

$$t-2$$

⁠.

$$WLA$$

is the share of weekly liquid assets in total assets (expressed as a percentage), as of day

$$t-2$$

⁠.

$$DLA(\leq20)$$

equals

$$DLA$$

if the fund’s

$$DLA$$

is below or equal to 20

$$\%$$

and zero otherwise;

$$DLA(20$$

$$30)$$

and

$$DLA(>30)$$

are similarly defined.

$$WLA(\leq40)$$

equals

$$WLA$$

if the fund’s

$$WLA$$

is below or equal to 40

$$\%$$

and zero otherwise;

$$WLA(40$$

$$50)$$

and

$$WLA(>50)$$

are similarly defined. Columns 1 and 2 control for

$$Crisis$$

⁠,

$$DLA(\leq20)$$

⁠,

$$DLA(20$$

$$30)$$

⁠, and

$$DLA(>30)$$

⁠. Columns 3 and 4 further control for

$$WLA(\leq40)$$

⁠,

$$WLA(40$$

$$50)$$

⁠, and

$$WLA(>50)$$

⁠. Other fund controls are as of the most recent Tuesday, including abnormal yield (in excess of cross-sectional average), safe holdings (Treasury and agency debt as share of fund AUM), risky holdings (CP and CDs), the logarithm of fund size, expense ratio, bank affiliation dummy, and fund age. The bottom-four rows show the

$$p$$

-values of the

$$F$$

-tests for the equality of the coefficients of the interaction terms between

$$Crisis$$

and

$$DLA$$

(⁠

$$WLA$$

⁠) variables, where

$$L$$

stands for

$$DLA(\leq20)$$

$$WLA(\leq40)$$

⁠,

$$M$$

stands for

$$DLA(20$$

$$30)$$

$$WLA(40$$

$$50)$$

⁠, and

$$H$$

stands for

$$DLA(>30)$$

$$WLA(>50)$$

⁠. Standard errors (in parentheses) are two-way clustered at the fund and day levels.

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