Investors' appetite for money-like assets: The MMF industry after the 2014 regulatory reform

• 成果类型: Article
• 署名作者: Cipriani, Marco; La Spada, Gabriele
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.11.005
• 发表日期: 2021
• 页码: 250-269
• 关键词: Money-like assets; Information sensitivity; Money market funds; Money market funds reform

摘要

This paper uses a quasi-natural experiment to estimate the premium for money-likeness. The 2014 Securities and Exchange Commission (SEC) reform of the money market fund (MMF) industry reduced the money-likeness of prime MMFs by increasing their information sensitivity, while leaving government MMFs unaffected. Investors fled from prime to government MMFs, with total outflows exceeding one trillion dollars. Using a differencein-differences design, we estimate the premium for money-likeness to be between 20 and 30 basis points (bps). These premiums are not due to changes in investors' risk tolerance or funds' risk taking. Our results support recent developments in monetary theory identifying information insensitivity as a key feature of money. (C) 2021 Elsevier B.V. All rights reserved.