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Bond fund runs: The financial crisis case
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Resumo(s)
This paper studies the monthly flows of bond fund geographically focused on Europe and on the United States in the period between 2002 and 2012, with special attention to the effect of the financial crisis of 2008. Through the usage of the panel quantile regression model, this study aims to identify which funds, in terms of their characteristics, are more likely to suffer a run. The main finding is that the impact of the characteristics of fund flows is not equal for all funds, varying with issuer entity, the state of the economy as well as the focus of the fund. During the financial crisis, runs were more pronounced, situation that still affects funds geographically focused on Europe.
Descrição
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
Palavras-chave
Runs Liquidity crisis Vector autoregression Quantile regressions