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

Carlo Bellavite Pellegrini (), Michele Meoli and Giovanni Urga

Finance Research Letters, 2017, vol. 21, issue C, 163-171

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.

Keywords: Money market funds; Shadow banking; Global Financial Crisis; Panel data (search for similar items in EconPapers)
JEL-codes: C23 G01 G15 G21 G23 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:21:y:2017:i:c:p:163-171

DOI: 10.1016/j.frl.2017.02.002

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