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• W2529149987 abstract "Evaluating creation of systemic risk is an ongoing regulatory activity and a difficult task given the dynamic linkages found in the financial system among multiple counterparties. This study evaluates the contributions to systemic risk in U.S. institutional prime money market funds (MMFs) from different sources using partial least squares structural equation modeling (PLS-SEM). The four years (2011-2014) cover the period following major reforms in 2010 implemented by the U.S. Securities and Exchange Commission (SEC), and includes years of the Eurozone sovereign debt crisis (2011-2012), as well as year 2011 marking the U.S. debt ceiling crisis. The primary motivation behind this study is to trace systemic risk in MMFs to its sources and measure which types of relationships provide significant explanation. In a first application of PLS-SEM with MMFs, I illustrate how the method can be used to explain systemic risk in an effort to help regulators, managers of MMFs and investors better monitor the market. This study evaluates the contribution of prudential and macroprudential indicators to systemic risk. Findings indicate that through the crisis years (2011-2012), macroprudential indicators contribute to potential systemic risk more than prudential indicators. However, this relationship is switched during 2013-2014 when the impact of Eurozone sovereign debt and US debt ceiling crises is less noticeable. This observation suggests that macroprudential indicators that can be traced to individual MMFs (i.e., funds’ market positions) are more important in understanding systemic risk during crises, and further underlines the interconnectedness of markets." @default.
• W2529149987 created "2016-10-14" @default.
• W2529149987 creator A5071594128 @default.
• W2529149987 date "2016-01-01" @default.
• W2529149987 modified "2023-09-27" @default.
• W2529149987 title "Explaining Systemic Risk in Money Market Funds: An Exploratory Study" @default.
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• W2529149987 doi "https://doi.org/10.2139/ssrn.2780164" @default.
• W2529149987 hasPublicationYear "2016" @default.
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