How Safe Are Money Market Funds?

• 成果类型: Article
• 署名作者: Kacperczyk, Marcin; Schnabl, Philipp
• 署名单位: New York University; National Bureau of Economic Research; New York University; Center for Economic & Policy Research (CEPR)
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjt010
• 发表日期: 2013
• 页码: 1073-1122
• 关键词: deposit insurance; COMMERCIAL PAPER; liquidity risk

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.