Sturm und Drang in money market funds : when money market funds cease to be narrow

Stephan Jank and Michael Wedow

This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of 2007/2008. The main findings of this paper are: in liquid times, money market funds enhanced their returns by investing in less liquid papers. By doing so they outperformed other funds as long as liquidity in the market was high. Investing in less liquid assets, however, widens the narrow structure of money market funds and makes them vulnerable to runs. During the shortening of liquidity caused by the subprime crisis, illiquid funds experienced runs, while more liquid funds functioned as a safe haven. -- Money Market Funds ; Liquidity Crisis ; Strategic Complementarities ; Runs ; Narrow Banking

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Year of publication:	2010
Authors:	Jank, Stephan ; Wedow, Michael
Publisher:	Cologne : Centre for Financial Research
Subject:	Geldmarktfonds \| Money market fund \| Marktliquidität \| Market liquidity \| Finanzkrise \| Financial crisis \| Rendite \| Yield \| Portfolio-Management \| Portfolio selection \| Deutschland \| Germany \| 1996-2008

Extent:	Online-Ressource (PDF-Datei: 39 S., 558 KB) graph. Darst.
Series:	Working paper / Centre for Financial Research. - Köln : CFR, ZDB-ID 2458327-3. - Vol. 10-16
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Zsfassung in dt. Sprache Systemvoraussetzungen: Acrobat reader
Other identifiers:	hdl:10419/41383 [Handle]
Classification:	G12 - Asset Pricing ; G20 - Financial Institutions and Services. General ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10008666510