Risks and Vulnerabilities in the U.S. Bond Mutual Fund Industry /

Risks and Vulnerabilities in the U.S. Bond Mutual Fund Industry /

This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial stability. We develop a new measure to identify vul...

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Bibliografske podrobnosti
Glavni avtor: Bouveret, Antoine
Drugi avtorji: Yu, Jie
Format: Revija
Jezik:English
Izdano: Washington, D.C. : International Monetary Fund, 2021.
Serija:IMF Working Papers; Working Paper ; No. 2021/109
Teme:
Foreign Exchange
General Financial Markets
Informal Economy
Pension Funds
Underground Econom
Online dostop:Full text available on IMF
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100 1 |a Bouveret, Antoine. 
245 1 0 |a Risks and Vulnerabilities in the U.S. Bond Mutual Fund Industry /  |c Antoine Bouveret, Jie Yu. 
264 1 |a Washington, D.C. :  |b International Monetary Fund,  |c 2021. 
300 |a 1 online resource (48 pages) 
490 1 |a IMF Working Papers 
500 |a <strong>Off-Campus Access:</strong> No User ID or Password Required 
500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
506 |a Electronic access restricted to authorized BRAC University faculty, staff and students 
520 3 |a This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial stability. We develop a new measure to identify vulnerable categories based on expected outflows labelled 'Flows in Distress'. Overall, most U.S. mutual funds are resilient yet high yield (HY) and loan funds would face a liquidity shortfall when faced with severe redemption shocks. Combined sales from funds can have a sizeable price impact. Finally, our contagion analysis using data on fund flows and returns shows that Investment Grade (IG) corporate bonds funds, municipal bond funds and government bond funds are more likely to spread distress to other fund categories than HY, EM and loan funds. When the first type of funds experiences stress, other funds categories are likely to experience stress as well. 
538 |a Mode of access: Internet 
650 7 |a Foreign Exchange  |2 imf 
650 7 |a General Financial Markets  |2 imf 
650 7 |a Informal Economy  |2 imf 
650 7 |a Pension Funds  |2 imf 
650 7 |a Underground Econom  |2 imf 
700 1 |a Yu, Jie. 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 2021/109 
856 4 0 |z Full text available on IMF  |u http://elibrary.imf.org/view/journals/001/2021/109/001.2021.issue-109-en.xml  |z IMF e-Library 

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