Money market funds, shadow banking and systemic risk in United Kingdom

被引：16

作者：

Pellegrini, Carlo Bellavite ^{[1
,2
]}

Meoli, Michele ^{[3
,4
]}

Urga, Giovanni ^{[5
,6
]}

机构：

[1] Catholic Univ, Dept Econ & Business Management Sci, Milan, Italy

[2] Catholic Univ, Res Ctr Appl Econ, Milan, Italy

[3] Univ Bergamo, Dept Management Informat & Prod Engn, Bergamo, Italy

[4] Univ Bergamo, CCSE, Bergamo, Italy

[5] City Univ London, Cass Business Sch, Fac Finance, London, England

[6] Univ Bergamo, Dept Management Econ & Quantitat Methods, Bergamo, Italy

来源：

FINANCE RESEARCH LETTERS | 2017年 / 21卷

关键词：

Money market funds; Shadow banking; Global Financial Crisis; Panel data;

D O I：

10.1016/j.frl.2017.02.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. Crown Copyright (C) 2017 Published by Elsevier Inc. All rights reserved.

引用

页码：163 / 171

页数：9

共 25 条

[11] How capital regulation and other factors drive the role of shadow banking in funding short-term business credit [J].