Abstract
Although most money market mutual funds hold floating rate instruments to some extent, funds rarely identify the market rate that any individual holding floats on. This makes it difficult to determine (directly) a fund’s exposure to Libor manipulation. Effective Libor exposure possibly is detectable (indirectly) in fund yields during August 2007 through December 2008, when short-term rates were unusually volatile. I perform time-series regressions of funds’ 7-day yield on Libor-Treasury and Libor-CP yield spreads for 725 U.S. public money market funds during this period. Unsurprisingly, there is strong evidence of exposure to a generic, non-Treasury component of short-term interest rates, for which Libor can proxy. But after controlling for commercial paper rates, the effective Libor exposure of money market funds, as a group, is small or zero.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
