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What is the effect of removing rating-based regulation? Evidence from money market funds
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This paper studies the effect of removing rating-based regulation, using as case of study the SEC removal of certain references to credit ratings in money market funds’ legislation. By making use of linear regression models, the funds’ asset allocation preferences were studied for the period surrounding the law amendments. The evidence suggests that the law amendments produced effects at an early stage. Additionally, the effects resulted in a movement towards securities perceived in the market as safer and a decreasing gap between the asset allocation preferences of prime and taxable money market fund types.
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Debt market Money market funds Regulation Credit ratings Asset allocation