货币市场基金行业的监控成本和风险承担

IF 3.1 1区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Intermediation Pub Date : 2023-01-01 DOI:10.1016/j.jfi.2022.101016

Stefano Lugo

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引用次数: 0

摘要

增加与收集信息相关的成本可能会阻碍市场的监测活动，即使信息仍然是公开的。利用2015年美国货币市场基金（MMF）改革作为一个准自然实验，我发现取消信用评级信息要求对MMF向评级为二级证券的配置产生了积极影响。这种影响是由迎合散户投资者的受监控的MMF和改革后不自愿报告信用评级的受监控MMF推动的。MMF对二级证券的相对需求明显增加，与二级商业票据发行时支付的价差减少有关。

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Cost of monitoring and risk taking in the money market funds industry

Increasing the cost associated with gathering information can hamper the monitoring activity of the market even when information remains public. Using the 2015 US money market funds (MMFs) reform as a quasi-natural experiment, I find a positive effect of removing information requirements over credit ratings on the allocation by MMFs toward securities rated as second tier. The effect is driven by monitored MMFs catering to retail investors and by monitored MMFs that do not voluntarily report credit ratings after the reform. The verfied increase in the relative demand by MMFs for second tier securities is associated with a decrease in the spread paid at issuance by second tier commercial paper.

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来源期刊

Journal of Financial Intermediation BUSINESS, FINANCE-

CiteScore

8.60

自引率

7.70%

发文量

期刊介绍： The Journal of Financial Intermediation seeks to publish research in the broad areas of financial intermediation, financial market structure, corporate finance, risk management, and valuation.