Risk Spillover Effect Of Market Capitalization Money Market Funds On Bond Market

As an extremely important part of China's financial market,money market funds have frequently experienced risk events in recent years.As a result,China's new asset management regulations have begun to encourage the issuance of market capitalization money market funds.The new liquidity regulations have begun to limit the scale of the amortized cost method.In 2008,the US money market fund broke out in a serious crisis.After the currency fund fell below its face value,it triggered a frenzied redemption wave,which led to the near-term financing market being almost paralyzed.Therefore,the United States began to implement money market fund reform.One of the key points of the reform is to require institutional non-government money market funds to be valued using the floating net asset value method.For China,the market capitalization money market fund is still in the stage of reporting and approval.Therefore,with reference to the empirical experience of the US money market fund reform,it has positive significance for the development of China's market capitalization money market fund.This paper selects the data after the reform of the US money market fund,and the time span is selected from November 1,2016 to February 25,2019 after the reform takes effect.The money market funds are classified according to the valuation method,and 15 market-based money market funds and amortized cost method money market funds are selected.Among them,the floating net asset value method money market fund sample contains 8 institutional tax-free money market funds and 7 institutions.The money market fund of amortized cost method sample includes 5 retail tax-free money market funds,retail quality money market funds and government money market funds.The bond market selects the US total bond index and the US Treasury bond index.The total bond index represents the entire US bond market investment grade bond and matches the US money market fund investment target.The government bond index represents the bond market without credit risk factors.After the money market fund and bond market index yield series pass the test,the MA(1)-GARCH(1,1)-t model is established for each money market fund according to the model AIC value and SIC value,and the total bond index adopts ARMA(1,1)-GARCH(1,1)-t model;uses the GARCH(1,1)-t model for the national debt index.Then through the GARCH family model to derive the value of the risk,by calculating the % ?CoVaR value in the risk value to represent the risk spillover of each money market fund.Compare the market risk of money market funds and amortized cost method money market funds to the bond market under the bond market and non-credit risk factors.The empirical results show that:(1)floating net asset value method money market fund has higher risk characteristics,its "thick tail" characteristics are more obvious,and its average value in risk value is also higher;(2)under two pricing methods The money market funds are vulnerable to macroeconomic and financial markets,and there is a cyclical effect,that is,financial markets also have spillover effects on money market funds;(3)floating net asset value method money market funds have lower risk spillover levels.The mean value of ?CoVaR calculated by the model is negative,which indicates that the money market funds under the two pricing methods have positive risk spillovers on the bond market as a whole,but the two contribute different degrees to the risk spillover level of the bond market.On average,the amortization cost method money market fund overflows by 24.73% higher than the floating net asset value method money market fund;(4)in the absence of credit risk factors,the floating net asset value method money market fund and the amortized cost method money market fund risk spillover The difference in degree has been reduced.In the empirical evidence of the risk spillover effect on the government bond market,the amortization cost method has only 2.98% higher than the market capitalization fund market fund,which is in line with the SEC's exemption from the institutional government money market fund valuation method reform.Practical measures,that is,to improve regulatory efficiency when there is no credit risk,money market funds can still be amortized using the amortized cost method.Therefore,from the empirical experience of the United States,the following suggestions can be made for the development of China's money market funds: one is to clearly distinguish retail and institutional money market funds according to the type of investors;the other is to continue to reform the valuation methods of some money market funds.Money market funds and institutional money market funds with higher risk of investment targets clearly require them to use the floating net asset value method to estimate,strengthen the risk management and control of institutional money market funds,and improve the efficiency of supervision;third,strengthen the monitoring of credit events,Thereby reducing the risk of the money market fund itself,but also has a positive effect on the risk of controlling other markets.