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

共同基金行业的金融危机——封闭式基金、拍卖利率证券和抛售级联

• 批准号: 354824103
• 负责人: Professor Dr. Tim Adam
• 金额: --
• 依托单位: Darden School of Business
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2017
• 资助国家: 德国
• 起止时间: 2016-12-31 至 2018-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/354824103?language=en
• 关键词: Financial; Contagion; Mutual; Fund; Industry

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.

在这个项目中，我们研究了美国共同基金行业的火灾销售和金融传染的可能性。截至2014年底，该行业管理着约16万亿美元的资产，是金融服务业的一个大部门，因此受到重大监管问题的影响。2008年初，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降低杠杆率。我们将研究这些被迫出售在多大程度上导致了甩卖，以及这些甩卖是否引发了其他（开放式）基金的额外甩卖，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火灾销售被称为火灾销售级联，并可能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的金融市场是如何联系在一起的，金融传染也可能来自于共同基金，这是整个共同基金行业相对较小的一部分。

项目成果

Three Essays on Mutual Funds

关于共同基金的三篇论文

• DOI: 10.18452/19585
• 发表时间: 2018
• 作者: L. Klipper