Asset price bubbles and systemic risk in money market funds

Matteo Aquilina, Peter Cincinelli and Giovanni Urga

No 1358, BIS Working Papers from Bank for International Settlements

Abstract: We investigate the systemic risk contribution of 3,500 Money Market Funds (MMFs) in normal periods and during asset price bubbles in the US from January 2004 to December 2022. Using state-of-the-art statistical techniques for bubble detection and granular fund-level data, we show that MMF characteristics significantly influence systemic risk. Large MMFs and government MMFs, which invest exclusively in US Treasury securities, are associated with reduced systemic risk, while prime MMFs contribute to higher systemic risk. MMFs denominated in US dollars but domiciled offshore exhibit no significant differences from their US-domiciled counterparts.

Keywords: financial crises; financial bubbles; backward supremum augmented Dickey-Fuller test; systemic risk measures; panel data (search for similar items in EconPapers)
JEL-codes: C23 G15 G21 (search for similar items in EconPapers)
Date: 2026-06
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