How Safe Are Money Market Funds?

被引：132

作者：

Kacperczyk, Marcin ^{[1
]}

Schnabl, Philipp

机构：

[1] NYU, Stern Sch Business, New York, NY 10003 USA

来源：

QUARTERLY JOURNAL OF ECONOMICS | 2013年 / 128卷 / 03期

关键词：

DEPOSIT INSURANCE; COMMERCIAL PAPER; LIQUIDITY RISK;

D O I：

10.1093/qje/qjt010

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We examine the risk-taking behavior of money market funds during the financial crisis of 2007-2010. We find that (1) money market funds experienced an unprecedented expansion in their risk-taking opportunities; (2) funds had strong incentives to take on risk because fund inflows were highly responsive to fund yields; (3) funds sponsored by financial intermediaries with more money fund business took on more risk; and (4) funds suffered runs as a result of their risk taking. This evidence suggests that money market funds lack safety because they have strong incentives to take on risk when the opportunity arises and are vulnerable to runs. JEL Codes: G21, G23, E44.

引用

页码：1073 / 1122

页数：50

共 29 条

[1] Securitization without risk transfer [J].