Arbeitspapier
Competition, reach for yield, and money market funds
Do asset managers reach for yield because of competitive pressures in a low-rate environment? I propose a tournament model of money market funds (MMFs) to study this issue. When funds care about relative performance, an increase in the risk premium leads funds with lower default costs to increase risk-taking, while funds with higher default costs decrease risk-taking. Without changes in the premium, lower risk-free rates reduce the risk-taking of all funds. I show that these predictions are consistent with MMF risk-taking during the 2002-08 period and that rank-based performance is indeed a key determinant of money flows to MMFs.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 753
- Klassifikation
-
Wirtschaft
Financial Economics: General
Financial Institutions and Services: General
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- Thema
-
reach for yield
money market funds
- Ereignis
-
Geistige Schöpfung
- (wer)
-
La Spada, Gabriele
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- La Spada, Gabriele
- Federal Reserve Bank of New York
Entstanden
- 2015
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