The unintended consequences of the zero lower bound policy

• 成果类型: Article
• 署名作者: Di Maggio, Marco; Kacperczyk, Marcin
• 署名单位: Harvard University; National Bureau of Economic Research; Imperial College London; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.09.006
• 发表日期: 2017
• 页码: 59-80
• 关键词: Unconventional monetary policy; Money funds; risk taking; Fund exit

摘要

We study the impact of the zero lower bound interest rate policy on the industrial organization of the U.S. money fund industry. We find that in response to policies that maintain low interest rates, money funds: change their product offerings by investing in riskier asset classes; are more likely to exit the market; and reduce the fees they charge their investors. The consequence of fund closures resulting from interest rate policy is the relocation of resources in affected fund families and in the asset management industry in general, as well as decline in capital of issuers borrowing from money funds. (C) 2016 Elsevier B.V. All rights reserved.