Money Market Funds, Shadow Banking and Systemic Risk in United Kingdom

Carlo Bellavite Pellegrini, Giovanni Urga, Michele Meoli

Risultato della ricerca: Contributo in rivistaArticolo in rivista

5 Citazioni (Scopus)

Abstract

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.
Lingua originaleEnglish
pagine (da-a)163-171
Numero di pagine9
RivistaFINANCE RESEARCH LETTERS (ONLINE)
Volumevol. 21
DOI
Stato di pubblicazionePubblicato - 2017

Keywords

  • Global Financial Crisis
  • Money Market Funds
  • Shadow Banking
  • Systemic Risk

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