Monetary policy and fragility in corporate bond mutual funds

IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE
John Chi-Fong Kuong , James O’Donovan , Jinyuan Zhang
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引用次数: 0

Abstract

We document aggregate outflows from corporate bond mutual funds days before and after the announcement of increases in the Federal Funds Target rate (FFTar). To rationalize this phenomenon, we build a model in which funds’ net-asset-values (NAVs) are stale and investors strategically redeem to profit from the mispricing when they learn about the increases of FFTar. Consistent with the model’s predictions, we find that stale NAVs and loose monetary policy environments weaken (strengthen) outflows sensitivity to increases in FFTar during illiquid (liquid) market conditions. Our results highlight when and how monetary policy could systematically exacerbate the fragility of corporate bond funds.

货币政策与公司债券共同基金的脆弱性
我们记录了企业债券共同基金在联邦基金目标利率(FFTar)宣布上调前后几天的资金外流总量。为了合理解释这一现象,我们建立了一个模型,在该模型中,基金的净资产价值(NAVs)是陈旧的,投资者在得知联邦基金目标利率上调后进行战略性赎回,以从错误定价中获利。与模型的预测一致,我们发现在流动性(流动性)较差的市场条件下,陈旧的资产净值和宽松的货币政策环境会削弱(加强)资金流出对外币利率上升的敏感性。我们的结果凸显了货币政策何时以及如何系统性地加剧公司债券基金的脆弱性。
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来源期刊
CiteScore
15.80
自引率
4.50%
发文量
192
审稿时长
37 days
期刊介绍: The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.
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