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

Carlo Bellavite Pellegrini; M. Meoli; Giovanni Urga

doi:10.1016/j.frl.2017.02.002

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

Carlo Bellavite Pellegrini
, M. Meoli^*
, Giovanni Urga

^*Autore corrispondente per questo lavoro

University of Bergamo
City, University of London

Risultato della ricerca: Contributo in rivista › Articolo

7 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 originale	Inglese
pagine (da-a)	163-171
Numero di pagine	9
Rivista	FINANCE RESEARCH LETTERS (ONLINE)
Volume	vol. 21
Numero di pubblicazione	issue C
DOI	https://doi.org/10.1016/j.frl.2017.02.002
Stato di pubblicazione	Pubblicato - 2017

All Science Journal Classification (ASJC) codes

Finanza

Keywords

Global Financial Crisis
Money Market Funds
Shadow Banking
Systemic Risk

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10.1016/j.frl.2017.02.002

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AU - Urga, Giovanni

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

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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