Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/224511
Autoren: 
Fricke, Daniel
Wilke, Hannes
Datum: 
2020
Reihe/Nr.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2020: Gender Economics
Zusammenfassung: 
Investment funds are highly connected with each other, but also with the broader financial system. In this paper, we quantify potential vulnerabilities arising from funds' connectedness. While previous work exclusively focused on indirect connections (overlapping asset portfolios) between investment funds, we develop a macroprudential stress test that also includes direct connections (cross-holdings of fund shares). In our application for German investment funds, we find that these direct connections are very important from a financial stability perspective. Our main result is that the German fund sector's aggregate vulnerability can be substantial and tends to increase over time, suggesting that the fund sector can amplify adverse developments in global security markets. We also highlight spillover risks to the broader financial system, since fund sector losses would be largely borne by fund investors from the financial sector. Overall, we make an important step towards a more financial-system-wide view on fund sector vulnerabilities.
Schlagwörter: 
asset management
investment funds
systemic risk
fire sales
liquidity risk
cross-holdings
spillover effects
JEL: 
G10
G11
G23
Dokumentart: 
Conference Paper

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