TY - JOUR
T1 - Money Market Funds, Shadow Banking and Systemic Risk in United Kingdom
AU - Bellavite Pellegrini, Carlo
AU - Meoli, Michele
AU - Urga, Giovanni
PY - 2017
Y1 - 2017
N2 - Shadow banking entities have been repeatedly charged with the breaking up of the recent financial crises. This paper examines the contribution of the money market funds, an important part of the shadow banking entities, to the systemic risk in United Kingdom by using the CoVaR methodology (Adrian and Brunnermeier, 2016). Using a sample of 143 money market funds, continuously listed between 2005Q4 and 2013Q4, we investigate the impact of institutional corporate variables on the systemic risk. Our results show that liquidity mismatch increases the average systemic risk over the whole period, but decreases the risk during the Great Financial Depression.
AB - Shadow banking entities have been repeatedly charged with the breaking up of the recent financial crises. This paper examines the contribution of the money market funds, an important part of the shadow banking entities, to the systemic risk in United Kingdom by using the CoVaR methodology (Adrian and Brunnermeier, 2016). Using a sample of 143 money market funds, continuously listed between 2005Q4 and 2013Q4, we investigate the impact of institutional corporate variables on the systemic risk. Our results show that liquidity mismatch increases the average systemic risk over the whole period, but decreases the risk during the Great Financial Depression.
KW - Global Financial Crisis
KW - Money Market Funds
KW - Shadow Banking
KW - Systemic Risk
KW - Global Financial Crisis
KW - Money Market Funds
KW - Shadow Banking
KW - Systemic Risk
UR - http://hdl.handle.net/10807/101262
U2 - 10.1016/j.frl.2017.02.002
DO - 10.1016/j.frl.2017.02.002
M3 - Article
SN - 1544-6123
VL - vol. 21
SP - 163
EP - 171
JO - Finance Research Letters
JF - Finance Research Letters
ER -