Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/130649 
Autor:innen: 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
Staff Report No. 753
Verlag: 
Federal Reserve Bank of New York, New York, NY
Zusammenfassung: 
Do asset managers reach for yield because of competitive pressures in a low-rate environment? I propose a tournament model of money market funds (MMFs) to study this issue. When funds care about relative performance, an increase in the risk premium leads funds with lower default costs to increase risk-taking, while funds with higher default costs decrease risk-taking. Without changes in the premium, lower risk-free rates reduce the risk-taking of all funds. I show that these predictions are consistent with MMF risk-taking during the 2002-08 period and that rank-based performance is indeed a key determinant of money flows to MMFs.
Schlagwörter: 
reach for yield
money market funds
JEL: 
G00
G20
G23
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.52 MB





Publikationen in EconStor sind urheberrechtlich geschützt.