加息周期中货币市场基金的增长：全球分析

Money Market FundGrowth During Hiking A Global Analysis Kleopatra Nikolaou WP/25/150 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers are 2025JUL IMF Working Paper Monetary and Capital Markets Money Market FundGrowthDuringHikingCyclesAGlobalAnalysis Authorized for distribution byAna Corbacho IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of the ABSTRACT:This paper examines thedrivers ofmoney market funds (MMFs)growthduring monetary policyhiking cycles. Analyzing data fromninecountries with notable MMF sectors post-pandemic, itexaminesthreemain drivers: yield differentials between MMFs andbank deposits,banking turmoilsthat affect perceptions ofrelative safety for traditional cash options, andstructuralcharacteristics(types)of MMFs. The findings indicatethat MMFs attract capital during rising interest ratesdriven primarily by yield-seeking behavior.This patternpersisted following the 2023 banking turmoil, particularly in the U.S., where yield remained the dominant driver. RECOMMENDED CITATION:Nikolaou, Kleopatra. 2025.MMF Growth During Hiking Cycles: A GlobalAnalysis. IMF WorkingPaper. International Monetary Fund. WORKING PAPERS Money Market Fund Growth During A Global Analysis Prepared byKleopatra Nikolaou Contents MMF yield advantage as a determinant of MMF flows.................................................................................12The impact of the US regional banking crisis...............................................................................................13Structure and types of MMFs as a driver of MMF flows...............................................................................14 Methodology and Empirical analysis..............................................................................................................18 Impact of the MMF yield advantage.............................................................................................................18Impact of banking turmoil of MMF growth....................................................................................................20Impact of MMF characteristics on MMF growth...........................................................................................21 Conclusion and further work...........................................................................................................................24 References.........................................................................................................................................................25 FIGURES Figure 1: MMF sector geography and size by different metrics...........................................................................9Figure 2: MMF spread and monetary policy cycles.............................................................................................13Figure 3: Average MMF Growth by jurisdiction.....................................................Error! Bookmark not defined. TABLES Table 1: Impact of monetary policy on MMF assets............................................................................................19Table 2: Impact of 2023 bank turmoil on MMF growth........................................................................................20Table 3: Impact of MMF types on MMF growth...................................................................................................22Table 4: Impact of MMF types on MMF growth by region...................................................................................23 Glossary MMF..........Money Market FundNAV..........Net Asset ValueCNAV........Constant Net Asset ValueVNAV.........Variable Net Asset Value Executive Summary This paper investigates the dynamics behind the growth of money market funds (MMFs) during the globalmonetary policy tightening cycle of 2022–2024. While past studies have focused on MMF vulnerabilities duringsystemic crises, recent developments—particularly rising interest rates, widening yield differentials, andthe We examine MMF flows across nine countries with significant MMF sectors, focusing on three drivers: (1) theMMF yield advantage over bank deposits, (2) the impact of the 2023 banking turmoil, and (3) the structuralcomposition of MMFs, particularly the split between public and private debt holdings.Our analysis is novel in its The motivation forthese driversissupportedbyprevious literature and recent experiences. MMFs typically offerhigher yieldsto their investorscomparedto what banks can offer to depositorsduring periods of monetary policytightening. Greater yield differentials between MMFs and bank deposits can enhance MMF growth, as yield-oriented investors shift their funds towards MMFs. Additionally, a loss of confidenc