{"title":"取消评级监管的危险:来自美国货币市场基金改革的证据","authors":"S. Lugo","doi":"10.2139/ssrn.3301330","DOIUrl":null,"url":null,"abstract":"Focusing on the 2016 US money market funds (MMFs) reform, this study assesses the impact of removing rating-based rules on the behavior of regulated investors and on market prices. Difference-in-differences fund-level and security-level analyses show a positive impact of the reform on the level of risk-taking by non-government MMFs. No empirical support is found for alternative explanations for the verified change in portfolio allocation. This shift has material consequences for the pricing of credit risk: all else equal, the reform-driven increase in the demand for riskier securities by MMFs is associated with a significant decrease in credit premia for commercial papers.","PeriodicalId":266240,"journal":{"name":"ERN: Econometric Studies of Government Regulation of Financial Markets (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2019-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"The Perils of Removing Rating-Based Regulation: Evidence From the US Money Market Funds Reform\",\"authors\":\"S. Lugo\",\"doi\":\"10.2139/ssrn.3301330\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Focusing on the 2016 US money market funds (MMFs) reform, this study assesses the impact of removing rating-based rules on the behavior of regulated investors and on market prices. Difference-in-differences fund-level and security-level analyses show a positive impact of the reform on the level of risk-taking by non-government MMFs. No empirical support is found for alternative explanations for the verified change in portfolio allocation. This shift has material consequences for the pricing of credit risk: all else equal, the reform-driven increase in the demand for riskier securities by MMFs is associated with a significant decrease in credit premia for commercial papers.\",\"PeriodicalId\":266240,\"journal\":{\"name\":\"ERN: Econometric Studies of Government Regulation of Financial Markets (Topic)\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-11-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Econometric Studies of Government Regulation of Financial Markets (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3301330\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Econometric Studies of Government Regulation of Financial Markets (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3301330","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The Perils of Removing Rating-Based Regulation: Evidence From the US Money Market Funds Reform
Focusing on the 2016 US money market funds (MMFs) reform, this study assesses the impact of removing rating-based rules on the behavior of regulated investors and on market prices. Difference-in-differences fund-level and security-level analyses show a positive impact of the reform on the level of risk-taking by non-government MMFs. No empirical support is found for alternative explanations for the verified change in portfolio allocation. This shift has material consequences for the pricing of credit risk: all else equal, the reform-driven increase in the demand for riskier securities by MMFs is associated with a significant decrease in credit premia for commercial papers.
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