Are retail prime money market fund investors increasingly more sensitive to stress events?

Kenechukwu Anadu (), John Levin, Lina Lu, Antoine Malfroy-Camine and Nico Oefele

Economics Letters, 2025, vol. 255, issue C

Abstract: U.S. prime money market mutual funds have experienced two episodes of bank-like runs, in 2008 and 2020, driven primarily by institutional investors. Using impulse response analysis, we examine the degree to which retail investors’ redemption sensitivity has evolved over these two stress periods. We find that, on average, net outflows from retail prime MMFs increased from 2008 to 2020. In contrast, over the same period, the magnitude of net outflows from institutional prime MMFs were, on average, relatively unchanged, albeit significantly larger than those from retail funds.

Keywords: Liquidity transformation; Money market mutual funds; Run risk; Financial stability (search for similar items in EconPapers)
JEL-codes: G1 G23 G28 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:255:y:2025:i:c:s0165176525003118

DOI: 10.1016/j.econlet.2025.112474

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