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International Finance Discussion Papers: The Cross Section of Money Market Fund Risks and Financial Crises by Patrick E McCabe (Paperback, 2013)

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This paper examines the relationship between money market fund (MMF) risks and outcomes during crises, with a focus on the ABCP crisis in 2007 and the run on money funds in 2008. I analyze three broad types of MMF risks: portfolio risks arising from a fund's assets, investor risk reflecting the likelihood that a fund's shareholders will redeem shares disruptively, and sponsor risk due to uncertainty about MMF sponsors' support for distressed funds. I find that during the run on MMFs in September and October 2008, outflows were larger for MMFs that had previously exhibited greater degrees of all three types of risk. In contrast, as the asset-backed commercial paper (ABCP) crisis unfolded in 2007, many MMFs suffered capital losses, but investor flows were relatively unresponsive to risks, probably because investors correctly believed that sponsors would absorb the losses. However, the consequences of MMF risks were quite costly for some sponsors: Using a unique data set of sponsor interventions, I show that sponsor financial support was more likely for MMFs that previously earned higher gross yields (a measure of portfolio risk) and funds with bank-affiliated sponsors. Funds' gross yields and bank affiliation (but not funds' ratings) also would have helped forecast holdings of distressed ABCP. This paper provides some useful lessons for investors and policymakers. The significance of MMF risks in predicting poor outcomes in past crises highlights the importance of monitoring such risks, and I offer some useful proxies for doing so. The paper also argues for greater attention to the systemic risks posed by the industry's reliance on discretionary sponsor support.

Product Identifiers

Publisher
Bibliogov
ISBN-13
9781288704200
eBay Product ID (ePID)
152409387

Product Key Features

Author
Patrick E Mccabe
Publication Name
International Finance Discussion Papers: The Cross Section of Money Market Fund Risks and Financial Crises
Format
Paperback
Language
English
Subject
Government
Publication Year
2013
Type
Textbook

Dimensions

Item Height
246mm
Item Width
189mm
Item Weight
136g

Additional Product Features

Title_Author
Patrick E Mccabe
Country/Region of Manufacture
United States

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International Finance Discussion Papers: The Cross Section of Money Market Fund Risks and Financial Crises by Patrick E McCabe (Paperback, 2013)

About this product

Product Information

Product Identifiers

Product Key Features

Dimensions

Additional Product Features

Best Selling in Adult Learning & University

Australian Native Bee Book: Keeping Stingless Bee Hives for Pets, Pollination and Sugarbag Honey by Tim Heard (Paperback, 2015)

The Weed Forager's Handbook: A Guide to Edible and Medicinal Weeds in Australia by Adam Grubb, Annie Raser-Rowland (2012, Paperback)

Permaculture: A Designer's Manual by Bill Mollison (Hardcover, 1988)

The Falsification of History: Our Distorted Reality by John Hamer (Paperback, 2013)

In-Basket Case Studies by Guy Adamson (Paperback, 1986)

Empire of the Summer Moon: Quanah Parker and the Rise and Fall of the Comanches, the Most Powerful Indian Tribe in American History by S.C. Gwynne (Paperback, 2011)

Botanical Field Guide by Stefan Mager (Fold-out book or chart, 2021)

Save on Adult Learning & University

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