Template-Type: ReDIF-Paper 1.0
Author-Name: Egemen Eren
Author-X-Name-First: Egemen
Author-X-Name-Last: Eren
Author-Name: Andreas Schrimpf
Author-X-Name-First: Andreas
Author-X-Name-Last: Schrimpf
Author-Name: Vladyslav Sushko
Author-X-Name-First: Vladyslav
Author-X-Name-Last: Sushko
Title: US dollar funding markets during the Covid-19 crisis - the money market fund turmoil
Abstract: Short-term dollar funding markets experienced severe dislocations in mid-March 2020, with funding diverted from unsecured funding markets as investors withdrew and switched to secured funding markets and government MMFs. Outflows from US prime MMFs led to a loss of funding for banks and a significant shortening of funding maturities; this precipitated spikes in indicators of bank funding costs, such as the LIBOR-OIS spread, despite banks not being at the epicentre of the liquidity squeeze. The turmoil highlights broader lessons for MMF regulation, the role of non-banks for monetary policy implementation, and the role of the central bank during stress.
Length: 9 pages
Creation-Date: 2020-05-12
File-URL: https://www.bis.org/publ/bisbull14.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/bisbull14.htm
File-Format: text/html
Number: 14
Handle: RePEc:bis:bisblt:14