Fonds du marché monétaire, comportement des actionnaires et stabilité financière

Money market funds, shareholder behavior, and financial stability

• Auteur / Autrice : Emily A. Gallagher
• Direction : Jean-Bernard Chatelain
• Type : Thèse de doctorat
• Discipline(s) : Sciences économiques
• Date : Soutenance le 28/05/2015
• Etablissement(s) : Paris 1
• Ecole(s) doctorale(s) : École doctorale d'Économie (Paris ; 2004-....)
• Partenaire(s) de recherche : Equipe de recherche : Centre d'économie de la Sorbonne (Paris ; 2006-....)
• Jury : Président / Présidente : Franck Martin
• Jury : Examinateurs / Examinatrices : Jean-Bernard Chatelain, Franck Martin, Philippe de Peretti
• Jury : Rapporteurs / Rapporteuses : Bertrand Maillet

Mots clés

Mots clés contrôlés

Stabilisation économique

Marché monétaire

Attitudes

Actionnaires

Mots clés libres

Risque crédit

Crise de la zone euro

Défaillance du Tré

Offre et demande

Credit risk

Eurozone crisis

Treasury default

Demand and supply

Résumé

Fonds du marché monétaire, comportement des actionnaires et stabilité financière.

In the five business days following the default of Lehman Brothers in September 2008, U.S. prime money market funds (MMFs) experienced outflows totaling over 300 billion of dollars, representing 15% of their total assets. In order to generate cash to service outflows, some MMFs sold assets and stopped rolling their investments. Many have argued that these outflows exacerbated the financial crisis by contributing to a freezing of commercial paper markets. In 2010, in an effort to improve the resiliency of MMFs to withstand severe market stresses, the Securities and Exchange Commission (SEC) adopted a number of substantial reforms. Since 2010, many regulators have called for further reforms of MMFs, citing the eurozone crisis of 2011 as evidence that MMFs remain a financial stability concern. Over June, July and August 2011, MMFs experienced outflows of 162 billion of dollars, representing 10% of their total assets. Some contend that the size and timing of these outflows indicate that MMF investors continue to react to, and perhaps exacerbate, stresses in the financial markets. According to this view, yield sensitive investors incent MMFs to take risk through foreign bank investments and then cut and run once those risks escalate, resulting in a sudden loss of funding available to credit-worthy U.S. firms. Using the eurozone crisis of 2011 as an acid test, this thesis evaluates the validity of this narrative and, more broadly, the stability of U.S. MMFs after the 2008 financial crisis and resulting reforms. (...)