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Philipp Schnabl - One of the best experts on this subject based on the ideXlab platform.
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how safe are Money Market funds
Quarterly Journal of Economics, 2013Co-Authors: Marcin Kacperczyk, Philipp SchnablAbstract:We examine the risk-taking behavior of Money Market funds during the nancial crisis of 2007-2010. We
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How Safe are Money Market Funds
The Quarterly Journal of Economics, 2013Co-Authors: Marcin Kacperczyk, Philipp SchnablAbstract: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. Copyright 2013, Oxford University Press.
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how safe are Money Market funds
2013Co-Authors: Marcin Kacperczyk, Philipp SchnablAbstract:We examine the risk-taking behavior of Money Market funds during the fi nancial 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; (4) funds suff ered 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.
Jorge Sicilia - One of the best experts on this subject based on the ideXlab platform.
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the ecb monetary policy strategy and the Money Market
International Journal of Finance & Economics, 2001Co-Authors: Vitor Gaspar, Gabriel Perezquiros, Jorge SiciliaAbstract:This paper aims at contributing to the understanding of how the ECB conducts monetary policy as seen from a Money Market perspective. More specifically it covers two different issues. First, it looks at the ‘learning period’ for banks since the Eurosystem started implementing the single monetary policy. It shows that during the first three weeks of 1999 the narrow corridor in place during this period was effective in limiting daily volatility of the Money Market overnight rates. In addition, the behaviour of banks and Market rates during this period provides evidence that learning was taking place. Second, it looks at how well Money Market participants have anticipated the monetary policy decisions taken by the ECB. To do so, the paper analyses whether the announcements of monetary policy decisions to maintain or change interest rates impact on the stochastic behaviour of interest rates. Looking at the EONIA rates within the reserve maintenance periods, we find that the announcement of monetary policy decisions does not change significantly the level or volatility of overnight rates. Copyright © 2001 John Wiley & Sons, Ltd.
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the ecb monetary policy strategy and the Money Market
2001Co-Authors: Vitor Gaspar, Gabriel Perezquiros, Jorge SiciliaAbstract:This paper aims at contributing to the understanding of how the ECB conducts monetary policy as seen from a Money Market perspective. More specifically it covers two different issues. First, it looks at the "learning period" for banks since the Eurosystem started implementing the single monetary policy. It shows that during the first three weeks of 1999 the narrow corridor in place during this period was effective in limiting daily volatility of the Money Market overnight rates. In addition, the behaviour of banks and Market rates during this period provides evidence that learning was taking place. Second, it looks at how well Money Market participants have anticipated the monetary policy decisions taken by the ECB. To do so, the paper analyses whether the announcements of monetary policy decisions to maintain or change interest rates impact on the stochastic behaviour of interest rates. Looking at the EONIA rates within the reserve maintenance periods, we find that the announcement of monetary policy decisions does not change significantly the level or volatility of overnight rates.
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the ecb monetary policy strategy and the Money Market
2001Co-Authors: Vitor Gaspar, Gabriel Perezquiros, Jorge SiciliaAbstract:This paper aims at contributing to the understanding of how the ECB conducts monetary policy as seen from a Money Market perspective. More specifically it covers two different issues. First, it looks at the 'learning period' for banks since the Eurosystem started implementing the single monetary policy. It shows that during the first three weeks of 1999 the narrow corridor in place during this period was effective in limiting daily volatility of the Money Market overnight rates. In addition, the behaviour of banks and Market rates during this period provides evidence that learning was taking place. Second, it looks at how well Money Market participants have anticipated the monetary policy decisions taken by the ECB. To do so, the paper analyses whether the announcements of monetary policy decisions to maintain or change interest rates impact on the stochastic behaviour of interest rates. Looking at the EONIA rates within the reserve maintenance periods, we find that the announcement of monetary policy decisions does not change significantly the level or volatility of overnight rates. JEL Classification: E52, C22
Marcin Kacperczyk - One of the best experts on this subject based on the ideXlab platform.
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how safe are Money Market funds
Quarterly Journal of Economics, 2013Co-Authors: Marcin Kacperczyk, Philipp SchnablAbstract:We examine the risk-taking behavior of Money Market funds during the nancial crisis of 2007-2010. We
-
How Safe are Money Market Funds
The Quarterly Journal of Economics, 2013Co-Authors: Marcin Kacperczyk, Philipp SchnablAbstract: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. Copyright 2013, Oxford University Press.
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how safe are Money Market funds
2013Co-Authors: Marcin Kacperczyk, Philipp SchnablAbstract:We examine the risk-taking behavior of Money Market funds during the fi nancial 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; (4) funds suff ered 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.
James Mcandrews - One of the best experts on this subject based on the ideXlab platform.
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settlement delays in the Money Market
Journal of Banking and Finance, 2010Co-Authors: Leonardo Bartolini, Spence Hilton, James McandrewsAbstract:Abstract We track 38,000 Money Market trades from execution to delivery and return, and provide a first empirical analysis of settlement delays in financial Markets. In accord with the predictions of recent models of strategic settlement of financial claims, we document a tendency by lenders to delay delivery of loaned funds until the afternoon hours. We find banks to follow a simple strategy to manage the risk of account overdrafts, by delaying settlement of large payments relative to that of small payments. More sophisticated strategies such as increasing delays when own liquid balances are low and when dealing with small trading partners play a marginal role. We find evidence of strategic delay also when returning borrowed funds, although we can explain a smaller fraction of the dispersion in delays in the return than in delivery leg of Money Market lending.
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settlement delays in the Money Market
Staff Reports, 2008Co-Authors: Leonardo Bartolini, Spence Hilton, James McandrewsAbstract:We track 38,000 Money Market trades from execution to delivery and return to provide a first empirical analysis of settlement delays in financial Markets. In line with predictions from recent models showing that financial claims are settled strategically, we document a tendency by lenders to delay delivery of loaned funds until the afternoon hours. We find that banks follow a simple strategy to manage the risk of account overdrafts - delaying the settlement of large payments relative to that of small payments. More sophisticated strategies, such as increasing settlement delays when own liquid balances are low and when dealing with small trading partners, play a marginal role. We also find evidence of strategic delay in the return of borrowed funds, although we can explain a smaller fraction of the dispersion in delays in the return than in the delivery leg of Money Market lending.
Leonardo Bartolini - One of the best experts on this subject based on the ideXlab platform.
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settlement delays in the Money Market
Journal of Banking and Finance, 2010Co-Authors: Leonardo Bartolini, Spence Hilton, James McandrewsAbstract:Abstract We track 38,000 Money Market trades from execution to delivery and return, and provide a first empirical analysis of settlement delays in financial Markets. In accord with the predictions of recent models of strategic settlement of financial claims, we document a tendency by lenders to delay delivery of loaned funds until the afternoon hours. We find banks to follow a simple strategy to manage the risk of account overdrafts, by delaying settlement of large payments relative to that of small payments. More sophisticated strategies such as increasing delays when own liquid balances are low and when dealing with small trading partners play a marginal role. We find evidence of strategic delay also when returning borrowed funds, although we can explain a smaller fraction of the dispersion in delays in the return than in delivery leg of Money Market lending.
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Money Market integration
Journal of Money Credit and Banking, 2008Co-Authors: Leonardo Bartolini, Spence Hilton, Alessandro PratiAbstract:We use transaction-level data and detailed modeling of the high-frequency behavior of federal funds–Eurodollar spreads to provide evidence of strong integration of the U.S. Markets for federal funds and Eurodollars, the two core components of the dollar Money Market. Our evidence of negligible federal funds–Eurodollar premia contrasts with previous findings of large and predictable premia, which have been interpreted as evidence of segmentation between the Markets for federal funds and Eurodollars. Our results, however, are consistent with possible persistent segmentation within the global Eurodollar Market. We document several patterns in the behavior of federal funds–Eurodollar spreads, including liquidity effects from trading volume to yield spreads' volatility.
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settlement delays in the Money Market
Staff Reports, 2008Co-Authors: Leonardo Bartolini, Spence Hilton, James McandrewsAbstract:We track 38,000 Money Market trades from execution to delivery and return to provide a first empirical analysis of settlement delays in financial Markets. In line with predictions from recent models showing that financial claims are settled strategically, we document a tendency by lenders to delay delivery of loaned funds until the afternoon hours. We find that banks follow a simple strategy to manage the risk of account overdrafts - delaying the settlement of large payments relative to that of small payments. More sophisticated strategies, such as increasing settlement delays when own liquid balances are low and when dealing with small trading partners, play a marginal role. We also find evidence of strategic delay in the return of borrowed funds, although we can explain a smaller fraction of the dispersion in delays in the return than in the delivery leg of Money Market lending.
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Money Market Integration
IMF Working Papers, 2006Co-Authors: Leonardo Bartolini, R. Spence Hilton, Alessandro PratiAbstract:We use transaction-level data and detailed modeling of the high-frequency behavior of federal funds and Eurodollar yield spreads to provide evidence of strong integration between the federal funds and Eurodollar Markets, the two core components of the dollar Money Market. Our results contrast with previous evidence of segmentation of these two Markets, showing them to be well integrated even at high intra-day frequency. We document several patterns in the behavior of federal funds and Eurodollar spreads, including liquidity effects from trading volume to yield spreads volatility. Our analysis supports the view that targeting federal funds rates alone is sufficient to stabilize rates in the, much larger, dollar Money Market as a whole.
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Money Market Integration
SSRN Electronic Journal, 2005Co-Authors: Leonardo Bartolini, R. Spence Hilton, Alessandro PratiAbstract:We use transaction-level data and detailed modeling of the high-frequency behavior of federal funds-Eurodollar yield spreads to provide evidence of strong integration between the federal funds and Eurodollar Markets, the two core components of the dollar Money Market. Our results contrast with previous research indicating that these two Markets are segmented, showing them to be well integrated even at high (intraday) frequency. We document several patterns in the behavior of federal funds-Eurodollar spreads, including liquidity effects from trading volume on yield spreads' volatility. Our analysis supports the view that targeting federal funds rates alone is sufficient to stabilize rates in the (much larger) dollar Money Market as a whole.
