City Research Online

Abstract

We investigate the systemic risk contribution of 3,500 Money Market Funds (MMFs) in normal periods and during asset price bubbles in the US from January 2004 to December 2022. Using state-of-the-art statistical techniques for bubble detection and granular fund-level data, we show that MMF characteristics significantly influence systemic risk. Large MMFs and government MMFs, which invest exclusively in US Treasury securities, are associated with reduced systemic risk, while prime MMFs contribute to higher systemic risk. MMFs denominated in US dollars but domiciled offshore exhibit no significant differences from their US-domiciled counterparts.

Publication Type:	Article
Additional Information:	© 2026, Elsevier. This is the accepted manuscript of an article published by Elsevier. Please refer to the publisher’s terms and conditions for information on re-use.
Publisher Keywords:	Financial Crises, Financial Bubbles, Backward Supremum Augmented Dickey-Fuller Test, Systemic Risk Measures, Panel Data
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management H Social Sciences > HG Finance H Social Sciences > HJ Public Finance
Departments:	Bayes Business School Bayes Business School > Faculty of Finance
SWORD Depositor:	Symplectic Administrator

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