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  1. Do liquidity limits amplify money market fund redemptions during the COVID crisis?
    Autor*in: Dunne, Peter G.; Giuliana, Raffaele
    Erschienen: [2021]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    Regulation of Money Market Funds (MMFs) in the EU requires some categories of MMFs to consider applying liquidity management tools if they breach a minimum 'weekly' liquidity requirement. Anticipation of the application of such tools is a plausible... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 611
    Fernleihe:
    keine Fernleihe

     

    Regulation of Money Market Funds (MMFs) in the EU requires some categories of MMFs to consider applying liquidity management tools if they breach a minimum 'weekly' liquidity requirement. Anticipation of the application of such tools is a plausible amplifier of run risks. Using a larger European dataset than previously studied, we assess whether proximity to liquidity thresholds explains differences in redemptions both at the start of the COVID-19 crisis and in the following months. We assess this effect for MMFs subject to and exempt from the liquidity regulation. The evidence shows that outflows can be robustly associated with proximity to minimum liquidity requirements in the peak of the crisis for funds required to consider suspending redemptions if breaches occur. In the post-crisis phase the redemption-liquidity relationship does not appear to be specifically related to mandated consideration of the suspension of redemptions. The evidence supports consideration of countercyclical liquidity requirements or buffers that are more usable in times of stress.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789294722348
    Weitere Identifier:
    hdl: 10419/265228
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 127 (October 2021)
    Schlagworte: Money market funds; Liquidity limits
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  2. Investor monitoring, money-likeness and stability of money market funds
    Autor*in: Järvenpää, Maija; Paavola, Aleksi
    Erschienen: 12.February 2021
    Verlag:  Bank of Finland, Helsinki

    An asset is money-like if investors have no incentives to acquire costly private information on the underlying collateral. However, privately provided money-like assets-like prime money market fund (MMF) shares-are prone to runs if investors suddenly... mehr

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    An asset is money-like if investors have no incentives to acquire costly private information on the underlying collateral. However, privately provided money-like assets-like prime money market fund (MMF) shares-are prone to runs if investors suddenly start to question the value of the collateral. Therefore, for risky assets, lack of money-likeness is a necessary condition for lack of run incentives. But is it a sufficient one? This paper studies the effect of the U.S. money market fund reform of 2014-2016 on investor monitoring, money-likeness and stability of institutional prime MMFs. Using the number of distinct IP addresses accessing MMFs' regulatory reports as a proxy for investor monitoring, we find that the reform increased monitoring and thus decreased money-likeness of institutional prime funds. However, we also show that after the reform, institutional prime funds that are more likely to impose the newly introduced redemption restrictions are more monitored, suggesting that investors may monitor in order to avoid being hit by the restrictions. Overall, our results indicate that increased monitoring, or decreased money-likeness, has not made institutional prime MMFs run-free, and it may have actually created a new source of fragility for MMFs.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789523233669
    Weitere Identifier:
    hdl: 10419/240343
    Auflage/Ausgabe: This version: February 3, 2021
    Schriftenreihe: Bank of Finland research discussion papers ; 2021, 2
    Schlagworte: Money market funds; money markets; money market fund reform; money-likeness; information sensitivity; monitoring
    Umfang: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  3. The money market mutual fund liquidity facility
    Autor*in: Anadu, Kenechukwu; Cipriani, Marco; La Spada, Gabriele
    Erschienen: 30 March 2022
    Verlag:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Standort:
    Universitätsbibliothek Mannheim
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; DP17161
    Schlagworte: COVID-19; Money market funds; Runs; Federal Reserve lending facilities
    Umfang: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  4. Money market fund vulnerabilities
    a global perspective
    Autor*in: Bouveret, Antoine; Martin, Antoine; McCabe, Patrick E.
    Erschienen: 8 March 2022
    Verlag:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 412
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Finance and economics discussion series ; 2022, 012
    Schlagworte: Money market funds; liquidity transformation; runs; nonbank financial institutions; short‐term funding markets; information‐insensitive assets; financial stability
    Umfang: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  5. Do redemptions increase as money market funds approach regulatory liquidity thresholds?
    Autor*in: Dunne, Peter G.; Giuliana, Raffaele
    Erschienen: [2022]
    Verlag:  [Central Bank of Ireland], Dublin, Ireland

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 548
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    Sprache: Englisch
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    Format: Online
    Schriftenreihe: Research technical paper / Central Bank of Ireland ; vol. 2022, no. 02
    Schlagworte: Money market funds; Liquidity limits
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  6. Money market fund reform: dealing with the fundamental problem
    Autor*in: Ennis, Huberto M.; Lacker, Jeffrey Malcolm; Weinberg, John A.
    Erschienen: 2022
    Verlag:  Federal Reserve Bank of Richmond, Richmond

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 384
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Auflage/Ausgabe: [Revised September 2022]
    Schriftenreihe: Working paper series / Federal Reserve Bank of Richmond ; WP 22, 08R
    Schlagworte: Money market funds; prime money market; Securities and Exchange Commission; regulation
    Umfang: 1 Online-Ressource (circa 18 Seiten), Illustrationen
  7. Money market funds and the pricing of near-money assets
    Autor*in: Dörr, Sebastian; Eren, Egemen; Malamud, Semyon
    Erschienen: 05 February 2024
    Verlag:  Centre for Economic Policy Research, London

    We introduce a new channel through which US money market funds (MMFs) affect the pricing of near-money assets and measured convenience yields. Our theoretical model reveals that MMFs' strategic interactions create frictions that are exacerbated by... mehr

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    Standort:
    Universität Potsdam, Universitätsbibliothek
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    We introduce a new channel through which US money market funds (MMFs) affect the pricing of near-money assets and measured convenience yields. Our theoretical model reveals that MMFs' strategic interactions create frictions that are exacerbated by T-bill market illiquidity. Using instrumental variables, we show that MMFs have an economically significant price impact in the T-bill market. Consistent with strategic behavior, they internalize this price impact when setting repo rates and allocating portfolios. Our evidence suggests that these frictions drive a sizeable part of common measures of T-bill convenience yields. Our results have implications for monetary policy transmission, government debt issuance, and the regulation of MMFs. T-bills, repo, money market funds, near-money assets, liquidity, convenience yield

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; DP18813
    Schlagworte: T-bills; Repo market; Money market funds; near-money assets; Liquidity; Convenienceyield
    Umfang: 1 Online-Ressource (circa 83 Seiten), Illustrationen
  8. Money market funds and the pricing of near-money assets
    Autor*in: Dörr, Sebastian; Eren, Egemen; Malamud, Semyon
    Erschienen: 05 February 2024
    Verlag:  Centre for Economic Policy Research, London

    We introduce a new channel through which US money market funds (MMFs) affect the pricing of near-money assets and measured convenience yields. Our theoretical model reveals that MMFs' strategic interactions create frictions that are exacerbated by... mehr

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    Verlag (Deutschlandweit zugänglich)
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    Standort:
    Staats- und Universitätsbibliothek Bremen
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    LZ 161
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    Standort:
    Bibliotheks-und Informationssystem der Carl von Ossietzky Universität Oldenburg (BIS)
    Fernleihe:
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    Standort:
    Universität Potsdam, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

     

    We introduce a new channel through which US money market funds (MMFs) affect the pricing of near-money assets and measured convenience yields. Our theoretical model reveals that MMFs' strategic interactions create frictions that are exacerbated by T-bill market illiquidity. Using instrumental variables, we show that MMFs have an economically significant price impact in the T-bill market. Consistent with strategic behavior, they internalize this price impact when setting repo rates and allocating portfolios. Our evidence suggests that these frictions drive a sizeable part of common measures of T-bill convenience yields. Our results have implications for monetary policy transmission, government debt issuance, and the regulation of MMFs. T-bills, repo, money market funds, near-money assets, liquidity, convenience yield

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; DP18813
    Schlagworte: T-bills; Repo market; Money market funds; near-money assets; Liquidity; Convenienceyield
    Umfang: 1 Online-Ressource (circa 83 Seiten), Illustrationen