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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Aftab and Varotto 2019.pdf - Accepted Version Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0. Download (1MB) | Preview |
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 |
| Depositing User: | Paul Burns |
| Date Deposited: | 25 Sep 2019 15:49 |
| Last Modified: | 31 Jul 2021 15:06 |
| URI: | http://nrl.northumbria.ac.uk/id/eprint/40855 |
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