Template-Type: ReDIF-Paper 1.0
Author-Name: Matteo Aquilina
Author-X-Name-First: Matteo
Author-X-Name-Last: Aquilina
Author-Name: Peter Cincinelli
Author-X-Name-First: Peter
Author-X-Name-Last: Cincinelli
Author-Name: Giovanni Urga
Author-X-Name-First: Giovanni
Author-X-Name-Last: Urga
Title: Asset price bubbles and systemic risk in money market funds
Abstract: We investigate the systemic risk contribution of 3,500 Money Market Funds (MMFs) in normal periods and during asset price bubbles in the US from January 2004 to December 2022. Using state-of-the-art statistical techniques for bubble detection and granular fund-level data, we show that MMF characteristics significantly influence systemic risk. Large MMFs and government MMFs, which invest exclusively in US Treasury securities, are associated with reduced systemic risk, while prime MMFs contribute to higher systemic risk. MMFs denominated in US dollars but domiciled offshore exhibit no significant differences from their US-domiciled counterparts.
Creation-Date: 2026-06
File-URL: https://www.bis.org/publ/work1358.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work1358.htm
File-Format: text/html
Number: 1358
Keywords: financial crises, financial bubbles, backward supremum augmented Dickey-Fuller test, systemic risk measures, panel data
Classification-JEL: C23, G21, G15
Handle: RePEc:bis:biswps:1358