Shadow-banking-and-financial-stability-影子银行

Shadowbankingandfinancialstability:EuropeanmoneymarketfundsintheglobalfinancialcrisisEliasBengtsson*SverigesRiksbank,Brunkebergstorg,10339Stockholm,SwedenKeywords:MoneymarketfundsFinancialstabilityShadowbankingContagionGlobalfinancialcrisisabstractWhenthetroublesinthesubprimemarketsbegansurfacing2007,developmentsunfoldedrapidlyintheEuropeanMMFindustry.Theindustrysufferedfromassetpricedropsandinvestorredemptions.ButthedifficultiesoftheMMFindustryalsospreadtothebankingsectorandcontributedtogeneralfinancialinsta-bilitythatprevailedin2007–2009.Inthisarticle,wedescribethemaineventsanddevelopmentsoftheEuropeanMMFindustryduringtheglobalfinancialcrisis.Basedontheseobservations,weanalysethetransmissionchannelsthroughwhichfinancialinsta-bilitymayspreadfromtheMMFsectortothewiderfinancialsystem.Insofar,ourarticlecontributestotheunderstandingofhowotherfinancialintermediariesandshadowbankingmayaffectfinancialstability.Anumberofpolicyconclusionsonshadowbankingandfinancialstabilityarealsoprovided.
2012ElsevierLtd.Allrightsreserved.Abbreviations:ABCP,Assetbackedcommercialpaper;ABS,Assetbackedsecurity;AMF,Autoritédesmarchésfinancier;CD,Certificateofdeposit;CESR,CommitteeofEuropeansecuritiesregulators;CNAV,Constantnetassetvalue;CP,Commercialpaper;CSSF,Commissiondesurveillancedusecteurfinancier;EBA,Europeanbankingauthority;EFAMA,Europeanfundandassetmanagementassociation;EONIA,Euroovernightindexaverage;ESMA,Europeansecuritiesandmarketsauthority;ESRB,Europeansystemicriskboard;EURIBOR,Eurointerbankofferedrate;FRN,Floatingratenotes;ICI,Investmentcompanyinstitute;IMMFA,Institutionalmoneymarketfundsassociation;MMF,Moneymarketfund;NAV,Netassetvalue;UCITS,Undertakingsforcollectiveinvestmentintransferablesecurities;VNAV,Variablenetassetvalue.*Tel.:þ4687870000;fax:þ468210531.E-mailaddress:[e-mail]SciVerseScienceDirectJournalofInternationalMoneyandFinancejournalhomepage:–seefrontmatter
2012ElsevierLtd.Allrightsreserved.fin.2012.05.027JournalofInternationalMoneyandFinance32(2013)579–5941.IntroductionMoneymarketfunds(MMFs)havealonghistoryofdeliveringcashmanagementserviceswithhighlevelsofliquidity,stabilityinprincipalvalueandcompetitivemarket-basedyields.Theyhavebeenthoughtofasimmunetorunsandanimportantcontributortofinancialstability.Hadnotthesubprimecrisisoccurred,thiswouldperhapsstillhavebeentheprevailingbelief.Butwhenthetroublesinthesubprimemarketsbegansurfacingin2007,developmentsunfoldedrapidlyintheMMFindustry.BothinEuropeandintheUS,theindustrysufferedfromassetpricedropsandenormousinvestorredemptions.AndthedifficultiesoftheMMFindustryspreadtothebankingsectorandcontributedtothegeneralfinancialinstabilitythatprevailedin2007–2009.Althoughbynowitiswellknownthattheshadowbankingsystemplayedacontagiousroleintheglobalfinancialcrisis(Pozsaretal.,2010;Tucker,2010),theabsolutebulkoffinancialstabilityresearchhasfocusedonthebankingsector.1StudiesontheroleofMMFsinthecrisisarefewandprimarilyfocusedondevelopmentsintheUSMMFindustry(DwyerandTkac,2009;McCabe,2009;Brunnermeier,2009;Babaetal.2009).Inresponsetotheselimitsinthescopeofacademicresearchonfinancialinstabilityandshadowbanking,thisarticle:DescribesmaineventsanddevelopmentsoftheEuropeanMMFindustryduringtheglobalfinancialcrisisof2007–2009;AnalysestransmissionchannelsthroughwhichfinancialinstabilitymayspreadfromtheMMFsectortothewiderfinancialsystem;andDrawssomepolicyconclusionsonshadowbankingandfinancialstability.ThearticlestrivestocapturethemaineventsandthemostvitalactionsandresponsesoftheMMFindustryandotherkeyactorsinvolved.Acaveatisneverthelessnecessary–itisofcourseimpossibletoprovideacomprehensiveaccountofallevents.Notleastbecauseactionstakeninresponsetofinancialinstabilityoftenincludeelementsthatmayhaverepercussionsoncorporateorpoliticalreputation,andthereforeremainhiddenfromthepublic.Inthefollowingsection,weprovidesomerelevantbackgroundinformationontheregulationandstructureoftheEuropeanMMFindustry.Thereafter,Sections3and4describetheeventsanddevel-opmentoftheMMFindustryduringthefinancialcrisis.Thefirstfocusesonthetroublesfollowingdisruptionsinthemarketsofassetbackedsecurities(ABSs)in2007;thesecondontheperiodthatfollowedthecollapseofLehmanBrothers.Section5concludesbyanalysingtheroleofMMFsinfinancialstabilityanddrawsanumberoflessonsforpolicy.2.Europeanmoneymarketfunds–backgroundMMFsbeganappearingintheUSintheearly1970s,followingregulatorylimitstointerestpayableonbankdeposits(DwyerandTkac,2009).IttookaboutadecadebeforethefirstMMFwascreatedinEurope,butthereasonsweresimilar–limitstointerestsondepositaccountsinducedFrenchassetmanagerstoofferfundsthatcouldoffersimilarreturnsandcharacteristicsasbankdeposits,butwithoutanyrestrictionsontheinterestyielded(LeCoz,2009).2Overtheyears,EuropeanMMFshavegrownintoaEUR1.3tindustrydominatedbyFrance,LuxembourgandIreland(seeFig.1).3Uptorecently,therehasbeennoharmonizationorregulationattheEUlevelonwhatconstitutesaMMF(forrecentdevelopments,seeSection5).Typically,aMMFissetupasanUnderta