Katalog Online Perpustakaan

Detail Katalog

Jurnal

Journal of Financial Economics

Keyword

Fragility; Money market funds; Sponsor support; Regulation; Liquidity

Pengarang

Cecilia parlatore

Subject

  1. ECONOMIC
  2. FINANCIAL

    [Abstrak]

    Money market
    funds (MMFs), which are crucial to short-term funding markets, rely on
    voluntary support of fund sponsors to maintain stable share values. I develop a
    general equilibrium model of MMFs to study how sponsor support affects the
    industry’s fragility and regulation. Adverse asset-quality shocks lead MMFs to
    liquidate assets. When liquidity in asset markets is limited, asset prices are
    lower if more funds liquidate. Lower asset prices, in turn, make sponsor
    support costlier and even more liquidations occur. This feedback leads to
    complementarities in sponsors’ support decisions. Based on the model’s
    insights, I derive implications for the regulation of MMFs.





    Periode

    Vol 121, Nomor 3, Tahun 2016

    [Berkas]

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