EconPapers    
Economics at your fingertips  
 

Sturm und Drang in money market funds: when money market funds cease to be narrow

Stephan Jank and Michael Wedow

No 2008,20, Discussion Paper Series 2: Banking and Financial Studies from Deutsche Bundesbank

Abstract: This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of 2007/2008. The main findings of this paper are: In liquid times money market funds enhanced their returns by investing in less liquid papers. By doing so they outperformed other funds as long as liquidity in the market was high. Investing in less liquid assets, however, widens the narrow structure of money market funds and makes them vulnerable to runs. During the shortening of liquidity caused by the subprime crisis illiquid funds experienced runs, while more liquid funds functioned as a safe haven.

Keywords: Money market funds; liquidity crisis; strategic complementarities; runs; narrow banking (search for similar items in EconPapers)
JEL-codes: G12 G20 G21 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/27683/1/593407830.PDF (application/pdf)

Related works:
Journal Article: Sturm und Drang in money market funds: When money market funds cease to be narrow (2015) Downloads
Working Paper: Sturm und Drang in money market funds: When money market funds cease to be narrow (2010) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdp2:200820

Access Statistics for this paper

More papers in Discussion Paper Series 2: Banking and Financial Studies from Deutsche Bundesbank Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2024-03-31
Handle: RePEc:zbw:bubdp2:200820