 Prime money market funds regulation, global liquidity, and the crude oil marketMiruna-Daniela Ivan, Chiara Banti and Neil Kellard () Journal of International Money and Finance, 2022, vol. 127, issue C Abstract: This paper explores how the 2016 US Prime Money Market Funds (PMMFs) regulation affected the crude oil market. This reform led to an increase in short-term dollar borrowing costs and the oil sector became particularly susceptible to disruptions in the global funding market due to a post-financial crisis debt expansion which far outpaced other commodity industries. Building on the global crude oil market SVAR model pioneered by Kilian and Murphy (2014), we find that tighter PMMFs funding conditions have a lagged negative effect on the real price of crude oil and a lagged positive effect on oil production. We show that these responses are driven primarily by a fall in certificates of deposits issued by global banks. Lastly, we evidence that the US nominal effective exchange rate acts as a transmission channel for the negative funding shock to the real price of oil. Keywords: Prime money market funds; Global liquidity; The real crude oil price; Sign-identified structural VAR models; Cross-border flows (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:127:y:2022:i:c:s0261560622000742 DOI: 10.1016/j.jimonfin.2022.102671 Access Statistics for this article Journal of International Money and Finance is currently edited by J. R. Lothian More articles in Journal of International Money and Finance from Elsevier |
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