Liquidity and shadow banking

Aftab, Zary and Varotto, Simone (2019) Liquidity and shadow banking. Journal of International Money and Finance, 99. p. 102080. ISSN 0261-5606

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Official URL: https://doi.org/10.1016/j.jimonfin.2019.102080

Abstract

Using a unique dataset of the detailed portfolio holdings of US money market funds, we study the behaviour of such funds in the context of the European sovereign debt crisis. These important players in the shadow banking sector were particularly vulnerable to liquidity shocks before the introduction of minimum liquidity requirements. We analyse the impact of these requirements and show that they have considerably increased the resilience of prime funds. We also see that prime funds increase their liquidity to counter expected investors’ redemptions in crisis periods. However, liquidity does not shelter risky funds from lower inflows.

Item Type: Article
Uncontrolled Keywords: Sovereign debt crisis, Shadow banking, Liquidity, Money market fund, Financial regulation
Subjects: N300 Finance
Department: Faculties > Business and Law > Newcastle Business School > Accounting and Finance
Depositing User: Paul Burns
Date Deposited: 25 Sep 2019 15:49
Last Modified: 11 Oct 2019 13:32
URI: http://nrl.northumbria.ac.uk/id/eprint/40855

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