Arbeitspapier
Aggregate Risk and Efficiency of Mutual Funds
I analyze welfare properties of mutual funds in the Diamond-Dybvig model with two sources of aggregate risk: undiversifiable interest rate risk and shocks to aggregate liquidity demand. Mutual funds are inefficient when the economy faces undiversifiable interest rate risk. However, if only aggregate liquidity demand is stochastic, mutual funds can implement the social optimum even when liquidity demand is not directly observed.
- Language
-
Englisch
- Bibliographic citation
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Series: Tinbergen Institute Discussion Paper ; No. 15-113/VI
- Classification
-
Wirtschaft
Micro-Based Behavioral Economics: Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making‡
Policy Objectives; Policy Designs and Consistency; Policy Coordination
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Financial Institutions and Services: Government Policy and Regulation
- Subject
-
Mutual funds
equity contracts
liquidity creation
liquidity insurance
aggregate risk
- Event
-
Geistige Schöpfung
- (who)
-
Kucinskas, Simas
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
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Amsterdam and Rotterdam
- (when)
-
2015
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kucinskas, Simas
- Tinbergen Institute
Time of origin
- 2015
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