国际清算银行-Covid-19危机期间的美元融资市场：货币市场基金动荡-2020051.pdf

BIS Bulletin No 14 US dollar funding markets during the Covid-19 crisis – the money market fund turmoil Egemen Eren, Andreas Schrimpf and Vladyslav Sushko 12 May 2020 BIS Bulletins are written by staff members of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. The authors are grateful to Alan Villegas and Amanda Liu for excellent analysis and research assistance, and to Louisa Wagner for administrative support. This publication is available on the BIS website (). © Bank for International Settlements 2020. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN: 2708-0420 (online) ISBN: 978-92-9197-381-0 (online) Egemen Eren Andreas Schrimpf Vladyslav Sushko Egemen.Eren@ Andreas.Schrimpf@ Vladyslav.Sushko@ US dollar funding markets during the Covid-19 crisis – the money market fund turmoil Key takeaways • 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 mone