Money Market Funds (MMFs) and the Covid-19 pandemic: Has the MMLF benefited money markets?

Nicholas Apergis

doi:10.1016/j.frl.2021.102277

Money Market Funds (MMFs) and the Covid-19 pandemic: Has the MMLF benefited money markets?

Financ Res Lett. 2022 May:46:102277. doi: 10.1016/j.frl.2021.102277. Epub 2021 Jul 2.

Author

Nicholas Apergis¹

Affiliation

¹ University of Derby, University of Derby, Kedleston Road campus, Derby DE22 1GB, United Kingdom.

Abstract

This paper explores the impact of Covid-19, and that of the MMLF program on US MMFs systemic risk through the CoVaR methodology. Using 149 listed prime MMFs, between January 2019 and April 2020, the results document that while Covid-19 increased their systemic risk, the MMLF facility scheme mitigated it.

Keywords: CoVaR systemic risk; Covid-19; MMLF facility; US MMFs.