Swing Pricing And Fragility In Open End Mutual Funds
Download Swing Pricing And Fragility In Open End Mutual Funds full books in PDF, epub, and Kindle. Read online free Swing Pricing And Fragility In Open End Mutual Funds ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
| Author | : Dunhong Jin |
| Publisher | : International Monetary Fund |
| Total Pages | : 46 |
| Release | : 2019-11-01 |
| Genre | : Business & Economics |
| ISBN | : 151351833X |
How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
| Author | : Dunhong Jin |
| Publisher | : International Monetary Fund |
| Total Pages | : 46 |
| Release | : 2019-11-01 |
| Genre | : Business & Economics |
| ISBN | : 1513519492 |
How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
| Author | : Refet S. Gürkaynak |
| Publisher | : Edward Elgar Publishing |
| Total Pages | : 533 |
| Release | : 2023-05-09 |
| Genre | : Business & Economics |
| ISBN | : 1800375328 |
The Research Handbook of Financial Markets carefully discusses the histories and current states of the most important financial markets and institutions, as well as explicitly underscoring open questions that need study. By describing the institutional structure of different markets and highlighting recent changes within them, it accurately highlights their evolving nature.
| Author | : Mr.Frank Hespeler |
| Publisher | : International Monetary Fund |
| Total Pages | : 12 |
| Release | : 2020-12-14 |
| Genre | : Business & Economics |
| ISBN | : 1513563696 |
This note analyzes the stress experienced (and caused) by open-end mutual funds during the March COVID-19 stress episode, with a focus on global fixed-income funds. In light of increased valuation uncertainty, funds experienced a short period of intense withdrawals while the market liquidity of their holdings deteriorated substantially. To cover redemptions, afflicted funds predominantly shed liquid assets first—for example, cash, cash equivalents, and US Treasury securities. But forced asset sales amplified price pressures in markets and contributed to liquidity falling across fixed-income markets. This drop in market liquidity, as well as the general stress in financial markets, may have led to fund investors becoming even more sensitive to challenging portfolio performance and encouraged further withdrawals. Only after central banks intervened, directly and indirectly supporting asset managers, did liquidity and redemption stress subside. Overall, the March episode validated the financial-stability concerns about liquidity vulnerabilities in the fund industry and calls for further action to address them.
| Author | : International Monetary |
| Publisher | : International Monetary Fund |
| Total Pages | : 112 |
| Release | : 2022-10-11 |
| Genre | : Business & Economics |
| ISBN | : |
Global financial stability risks have increased amid a series of cascading shocks. Chapter 1 analyzes the policy response of central banks to high inflation, the risks of a disorderly tightening of financial conditions, and debt distress among emerging and frontier markets. Markets have been extremely volatile, and a deterioration in market liquidity appears to have amplified price moves. In Europe, the energy crisis is contributing to a worsening outlook. In China, the property sector remains a key source of vulnerability. Chapter 2 examines how to narrow the climate financing gap in emerging market and developing economies. Climate policies, including carbon pricing, climate disclosures, and transition taxonomies, are crucial for enabling private climate finance. Innovative financial instruments can help to scale up private climate finance, but the public sector—including multilateral development banks—will have to play a key supporting role. Chapter 3 analyzes the contributions of open-end investment funds to fragilities in asset markets. Open-end investment funds play a key role in financial markets, but those offering daily redemptions while holding illiquid assets can amplify the effects of adverse shocks by raising the likelihood of investor runs and asset fire sales. This contributes to volatility in asset markets and potentially threatens financial stability.
| Author | : Norbert J. Michel |
| Publisher | : Cato Institute |
| Total Pages | : 111 |
| Release | : 2023-01-17 |
| Genre | : Business & Economics |
| ISBN | : 1952223474 |
Most American adults easily recognize the following description of the 2008 financial crisis. Unregulated Wall Street firms (so-called shadow banks) made too many risky bets with derivatives, causing the housing bubble to burst. The contagious run through the financial system was only stopped by bailouts from the federal government and major regulatory changes. But what if the record demonstrates that the core of this story is misleading and that the resulting regulations are misguided? Now, almost 15 years later, the Biden administration is using this same story to promote more regulations for money market mutual funds (a key part of the supposedly dangerous shadow banking system) and even to justify allowing only federally insured banks to issue stablecoins (a type of cryptocurrency that didn’t exist in 2008). But most of the post-2008 regulatory efforts were concentrated in the traditional banking sector—not the shadow banking sector—which warrants skepticism toward the conventional story of the 2008 crisis and any new regulations based on that story. This book explores the main problems with the conventional story about the 2008 crisis and explains why it does not justify expanding bank-like regulations throughout financial markets to mitigate systemic risks.
| Author | : Valerio Lemma |
| Publisher | : Springer Nature |
| Total Pages | : 506 |
| Release | : 2020-04-25 |
| Genre | : Business & Economics |
| ISBN | : 3030423476 |
Responding to growing interest in new regulations adopted by the EU, US, and UK authorities, this book provides a comprehensive overview of the legal and economic aspects of FinTech and the current regulation surrounding it. In particular, the book observes the technological evolution of finance and the ‘economic space’ that lies between the regulated market and the illegal circulation of capital. Analysing laws that influence the application of technology to the banking and finance sector, the author considers market infrastructure and illustrates how firms execute their activities on a global scale, away from the scope of public supervision and monetary backstops. With globalisation and digitalisation boosting efficiency, the economical relevance of technology is becoming ever more important and therefore this book provides a much-needed examination of the current trends in FinTech regulation, making it an essential read for those researching financial markets, and professionals within the industry.
| Author | : Darryl King |
| Publisher | : International Monetary Fund |
| Total Pages | : 50 |
| Release | : 2017-07-10 |
| Genre | : Business & Economics |
| ISBN | : 148430585X |
This paper considers the central bank mandate with respect to financial stability and identifies the links to the functioning of securities markets. It argues that while emergency support to securities markets is an important part of the crisis management response, a high bar should be set for its use. Importantly, it should be used only as part of a comprehensive policy package. The paper considers what types of securities markets may be important for financial stability, what market conditions could trigger emergency support measures, and how programs can be designed to restore market functioning while minimizing moral hazard.
| Author | : Nicola Gennaioli |
| Publisher | : Princeton University Press |
| Total Pages | : 264 |
| Release | : 2018-09-11 |
| Genre | : Business & Economics |
| ISBN | : 0691182507 |
How investor expectations move markets and the economy The collapse of Lehman Brothers in September 2008 caught markets and regulators by surprise. Although the government rushed to rescue other financial institutions from a similar fate after Lehman, it could not prevent the deepest recession in postwar history. A Crisis of Beliefs makes us rethink the financial crisis and the nature of economic risk. In this authoritative and comprehensive book, two of today’s most insightful economists reveal how our beliefs shape financial markets, lead to expansions of credit and leverage, and expose the economy to major risks. Nicola Gennaioli and Andrei Shleifer carefully walk readers through the unraveling of Lehman Brothers and the ensuing meltdown of the US financial system, and then present new evidence to illustrate the destabilizing role played by the beliefs of home buyers, investors, and regulators. Using the latest research in psychology and behavioral economics, they present a new theory of belief formation that explains why the financial crisis came as such a shock to so many people—and how financial and economic instability persist. A must-read for anyone seeking insights into financial markets, A Crisis of Beliefs shows how even the smartest market participants and regulators did not fully appreciate the extent of economic risk, and offers a new framework for understanding today’s unpredictable financial waters.
| Author | : United States. Securities and Exchange Commission |
| Publisher | : |
| Total Pages | : 1004 |
| Release | : 1970 |
| Genre | : Mutual funds |
| ISBN | : |
