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  1. The Money Market Mutual Fund Liquidity Facility
    Autor*in: Anadu, Kenechukwu; Cipriani, Marco; Craver, Ryan M.; La Spada, Gabriele
    Erschienen: [2021]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    In this article, we discuss the run on prime money market funds (MMFs) that occurred in March 2020, at the onset of the COVID-19 pandemic, and describe the Money Market Mutual Fund Liquidity Facility (MMLF), which the Federal Reserve established in... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 207
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    In this article, we discuss the run on prime money market funds (MMFs) that occurred in March 2020, at the onset of the COVID-19 pandemic, and describe the Money Market Mutual Fund Liquidity Facility (MMLF), which the Federal Reserve established in response to it. We show that the MMLF, like a similarly structured Federal Reserve facility established during the 2008 financial crisis, was an important tool in stemming investor outflows from MMFs and restoring calm in short-term funding markets. The usage of the facility was higher by funds that suffered larger outflows. After the facility's introduction, outflows from prime MMFs decreased more for those funds that had a larger share of illiquid securities. Importantly, following the introduction of the MMLF, interest rates on MMLF-ineligible securities decreased at a slower rate than those on MMLF-eligible securities, even after controlling for credit risk.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/247903
    Schriftenreihe: Staff reports / Federal Reserve Bank of New York ; no. 980 (September 2021)
    Schlagworte: COVID-19; money market funds; runs; Federal Reserve lending facilities
    Umfang: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  2. Money market fund vulnerabilities
    a global perspective
    Autor*in: Bouveret, Antoine; Martin, Antoine; McCabe, Patrick E.
    Erschienen: [2022]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    Money market funds (MMFs) are popular around the world, with over $9 trillion in assets under management globally. From their origins in the 1970s, MMFs have operated in a niche between the capital markets and the banking system, as investment funds... mehr

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    DS 207
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    Money market funds (MMFs) are popular around the world, with over $9 trillion in assets under management globally. From their origins in the 1970s, MMFs have operated in a niche between the capital markets and the banking system, as investment funds that offer private money-like assets with features similar to those of bank deposits. Hence, they are vulnerable to runs that arise from liquidity transformation and from sudden changes in investor perceptions of the funds' ability to serve as moneylike assets. Since 2000, MMF runs have occurred in many countries and under many regulatory regimes. The global pattern of runs and crises shows that MMF vulnerabilities are not unique to a particular set of governing arrangements, and that mitigating these vulnerabilities requires fundamental reforms that either place MMFs more clearly within the investment-fund sector or establish protections for MMFs similar to those for deposits.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/262059
    Schriftenreihe: Staff reports / Federal Reserve Bank of New York ; no. 1009 (March 2022)
    Schlagworte: money market funds; liquidity transformation; runs; nonbank financial institutions; short-term funding markets; information-insensitive assets; financial stability
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  3. 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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    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
  4. Managing overreaction during a run
    Autor*in: Machado, Caio
    Erschienen: [2023]
    Verlag:  [Pontificia Universidad Católica de Chile], [Macul, Santiago, Chile]

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    Sprache: Englisch
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    Schriftenreihe: Documento de trabajo / Instituto de Economia, Pontificia Universidad Católica de Chile ; 574 (2023)
    Schlagworte: global games; overreaction; diagnostic expectations; runs
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  5. Runs and flights to safety
    are stablecoins the new money market funds?
    Autor*in: Anadu, Kenechukwu; Azar, Pablo D.; Cipriani, Marco; Eisenbach, Thomas M.; Huang, Catherine; Landoni, Mattia; La Spada, Gabriele; Macchiavelli, Marco; Malfroy-Camine, Antoine; Wang, J. Christina
    Erschienen: [2023]
    Verlag:  Federal Reserve Bank of New York, [New York, NY]

    Stablecoins and money market funds both seek to provide investors with safe, money-like assets but are vulnerable to runs in times of stress. In this paper, we investigate similarities and differences between the two, comparing investor behavior... mehr

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    DS 207
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    Stablecoins and money market funds both seek to provide investors with safe, money-like assets but are vulnerable to runs in times of stress. In this paper, we investigate similarities and differences between the two, comparing investor behavior during the stablecoin runs of 2022 and 2023 to investor behavior during the money market fund runs of 2008 and 2020. We document that, similarly to money market fund investors, stablecoin investors engage in flight to safety, with net flows from riskier to safer stablecoins during run periods. However, whereas in money market funds, run risk has historically materialized only in prime funds, with stablecoins, runs occurred in different stablecoin types across the 2022 and 2023 episodes. We also show that, similarly to intrafamily flows in money market funds, stablecoin flows tend to be within blockchains. Finally, for stablecoins, we estimate a discrete "break-the-buck" threshold of $0.99, below which redemptions accelerate.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/284033
    Schriftenreihe: Staff reports / Federal Reserve Bank of New York ; no. 1073 (September 2023)
    Schlagworte: stablecoins; money market mutual funds; financial stability; crypto assets; runs; liquidity transformation
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  6. Runs and flights to safety
    are stablecoins the new money market funds?
    Autor*in: Anadu, Kenechukwu; Azar, Pablo D.; Cipriani, Marco; Eisenbach, Thomas M.; Huang, Catherine; Landoni, Mattia; La Spada, Gabriele; Macchiavelli, Marco; Malfroy-Camine, Antoine; Wang, J. Christina
    Erschienen: [2023]
    Verlag:  [Federal Reserve Bank of Boston], [Boston]

    Stablecoins and money market funds both seek to provide investors with safe, money-like assets but are vulnerable to runs in times of stress. In this paper, we investigate similarities and differences between the two, comparing investor behavior... mehr

    Zugang:
    Verlag (kostenfrei)
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    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 82
    Fernleihe:
    keine Fernleihe

     

    Stablecoins and money market funds both seek to provide investors with safe, money-like assets but are vulnerable to runs in times of stress. In this paper, we investigate similarities and differences between the two, comparing investor behavior during the stablecoin runs of 2022 and 2023 to investor behavior during the money market fund runs of 2008 and 2020. We document that, similarly to money market fund investors, stablecoin investors engage in flight to safety, with net flows from riskier to safer stablecoins during run periods. However, whereas in money market funds, run risk has historically materialized only in prime funds, with stablecoins, runs occurred in different stablecoin types across the 2022 and 2023 episodes. We also show that, similar to intrafamily flows in money market funds, stablecoin flows tend to be within blockchains. Finally, for stablecoins, we estimate a discrete "break-the-buck" threshold of $0.99, below which redemptions accelerate.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
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    Weitere Identifier:
    hdl: 10419/280855
    Auflage/Ausgabe: This version: September 2023
    Schriftenreihe: Working papers / Federal Reserve Bank of Boston ; no. 23, 11
    Schlagworte: stablecoins; money market mutual funds; financial stability; crypto assets; runs; liquidity transformation
    Umfang: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  7. Fund fragility
    the role of investor base
    Autor*in: Allaire, Nolwenn; Breckenfelder, Johannes; Hoerova, Marie
    Erschienen: [2023]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    Using security-by-security data on investor holdings in the euro area, we study run dynamics across different fund-shares of the same fund during the unprecedented liquidity crisis in March 2020. For an average bond or equity mutual fund-share,... mehr

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    Using security-by-security data on investor holdings in the euro area, we study run dynamics across different fund-shares of the same fund during the unprecedented liquidity crisis in March 2020. For an average bond or equity mutual fund-share, households, other euro area funds, and the foreign sector each represent about a quarter of the total holdings. Insurance companies hold another 14%, with all other investors combined (banks, non-financial corporations, pension funds, etc.) accounting for less than 10% of holdings. Analyzing bond funds, we show that fund-shares with higher ownership by other funds suffered substantially higher outflows (by 6 percentage points), while fund-shares with higher ownership by households had substantially lower outflows (by 5 percentage points) compared to the other fund-shares within the same fund. This gap is not driven by time-varying differences in fund performance. Results for equity funds are similar, although they faced substantially smaller outflows, coupled with much larger declines in performance, compared to bond funds. Our findings suggest that a collective "dash for cash" by consumers and firms in need of liquidity at the outset of the COVID-19 pandemic was not the source of mutual fund fragility. Instead, the most run-prone investor type turned out to be the fund sector itself.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289962513
    Weitere Identifier:
    Schriftenreihe: Working paper series / European Central Bank ; no 2874
    Schlagworte: mutual funds; runs; liquidity; investor type; March 2020 liquidity crisis
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen