Journal of Financial Economics·Volume 129, Issue 1·July 2018

竞争、收益率和货币市场基金

作者：Gabriele La Spada（Federal Reserve Bank of New York）

摘要：在低利率环境的竞争压力下，资产管理公司是否达到收益？我提出了一个货币市场基金（MMFs）的比赛模型来研究这个问题。当基金关注相对业绩时，风险溢价的增加会导致违约成本较低的基金增加风险承担，而违约成本较高的基金会减少风险承担。如果保费不发生变化，较低的无风险利率可降低所有基金承担的风险。本文表明，这些预测与2002-2008年期间MMF风险承担一致，而基于排名的业绩是MMF流入货币的关键决定因素。

关键词：达到收益，货币市场基金，流动表现关系，锦标赛，货币政策

Competition, reach for yield, and money market funds

Gabriele La Spada（Federal Reserve Bank of New York）

ABSTRACT

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 question. 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 2002–2008 period and that rank-based performance is a key determinant of money flows to MMFs.

Keywords: Reach for yield, Money market funds, Flow-performance relation, Tournament, Monetary policy

原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X18301004#!

翻译：何杉