Financial Contagion in the Mutual Fund Industry - Closed-End Funds, Auction Rate Securities, and Fire-Sale Cascades

在这个项目中，我们研究了大甩卖和美国共同基金行业金融危机蔓延的可能性。截至2014年底，该行业管理的资产约为16万亿美元，占金融服务业的很大一部分，因此受到监管部门的重大担忧。2008年初，杠杆封闭式基金的资金状况意外恶化，一些基金被迫通过出售资产来降低杠杆。我们将研究这些被迫抛售在多大程度上导致了廉价出售，以及这些廉价出售是否引发了其他(开放式)基金的额外廉价出售，这些基金没有受到最初冲击的直接影响。从一个细分市场蔓延到另一个细分市场的减价促销被称为减价促销，可能会对金融体系的稳定构成重大威胁。因此，我们的研究将有助于监管机构更好地了解不同金融市场是如何联系在一起的，而杠杆共同基金也可能引发金融传染，杠杆共同基金在整个共同基金行业中只占相对较小的一部分。

In this project we examine fire-sales and the potential for financial contagion in the U.S. mutual fund industry. With about $16 trillion of assets under management at the end of 2014, this industry represents a large sector of the financial services industry and is therefore subject to significant regulatory concerns. In early 2008, the funding situation of levered closed-end funds unexpectedly deteriorated so that some funds were forced to reduce their leverage by selling assets. We will examine to what extent these forced sales resulted in fire-sales and whether these fire-sales triggered additional fire-sales at other (open-end) funds, which were not directly affected by the initial shock. Fire-sales that spread from one market segment to another are called fire-sale cascades, and can pose a significant threat to the stability of the financial system. Therefore, our study will help regulators to better understand how different financial markets are connected, and that financial contagion can also originate from levered mutual funds, which are a relatively small part of the total mutual fund industry.