Developing Macroprudential Policy for Alternative Investment Funds

Veer, K.J.M. van der; Levels, Anouk; Lambert, Claudia; Vivar, Luis Molestina; Weistroffer, Christian; Chaudron, Raymond; Stralen, René de Sousa van

doi:10.2139/ssrn.3082177

Cited by 6 publications

(2 citation statements)

References 20 publications

(25 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…This paper clearly advocates complementing existing mutual fund regulations, which have, to date, been microprudential (van der Veer et al, 2017), by including a macroprudential dimension. Several macro-prudential rules could be considered.…”

Section: Discussionmentioning

confidence: 93%

Towards a macroprudential regulatory framework for mutual funds?

et al. 2023

View full text Add to dashboard Cite

This paper highlights the procyclical and unstable behaviour of mutual funds, characterized by a varying sensitivity on common asset pricing factors. It proposes a novel factor model that allows for regime changes associated with macroeconomic and financial state variables. Estimated on a panel covering 825 US equity mutual funds over a period of 30 years, it appears that the yield curve, the dividend yield, short term interest rates and the industrial production coincide with regimes switches in the Fama–French factors. Furthermore, the estimated regimes coincide with financial crises and economic downturns, thus confirming the procyclical behaviour of mutual funds' returns. These findings, coupled with the emerging systemic role of mutual funds, promote the consideration for a specific macroprudential regulatory framework targeted at the mutual fund industry.

show abstract

Section: Discussionmentioning

confidence: 93%

Towards a macroprudential regulatory framework for mutual funds?

et al. 2023

View full text Add to dashboard Cite

show abstract

“…See van derVeer et al (2017) andVivar et al (2020) who show that leveraged funds are more prone to outflows in periods of declining fund returns and behave more pro-cyclically.68 IMF Global Financial Stability Report "Lower for longer", October 2019. total bond holdings; years; Q4 2013-Q2 2020) (percentage of assets under management; EUR billions) Sources: ECB (Securities Holdings Statistics by Sector and Investment Funds Balance Sheet Statistics), EPFR Global and ECB calculations. Notes: Panel (a): securities are mapped into liquidity classes in accordance with Commission Delegated Regulation (EU) 2015/61, which defines liquidity requirements for banks.…”

mentioning

confidence: 99%

Nonbank Financial Intermediation in Times of Crisis: Identifying Leadership in the G20 Countries

Evlakhova¹,

Amosova²

2022

JAER

View full text Add to dashboard Cite

Non-banking financial intermediation, which means the conduct of credit operations by financial institutions that do not have a license for this and was previously interpreted as “shadow banking”, has become a long-term trend in the development of the global financial market. The purpose of the study is to determine the changes in non-banking financial intermediation during periods of crises and the inter-crisis period, as well as to identify the leading countries in the development of non-banking financial intermediation in a long-term retrospective. A hypothesis is formulated that during periods of crises, not only does the volume of non-banking financial intermediation decrease (on a global scale and within national markets), but its structure also changes. To test the hypothesis, a cross-country comparative analysis of the level of development of non-banking financial intermediation based on the corresponding index was carried out, as well as clustering using the FOREL method to identify changes in the structure of global non-banking financial intermediation. As data sources, data from the Financial Stability Board Monitoring Dataset on Non-Bank Financial Intermediation and OECD. Stat data were used. The results of the study confirmed the correctness of the formulated hypothesis. On their basis, the directions for the development of non-banking financial intermediaries in the current conditions of the approaching recession of the world economy are determined: (1) maintaining the index of non-banking financial intermediation in the current range of values; (2) preservation of the polycluster structure of non-banking financial intermediation, since the decrease in the number of clusters occurs during periods of relative stability of the world economy; (3) increased heterogeneity of countries in terms of the level of non-banking financial intermediation. It is shown that the crisis caused by the pandemic had a stronger negative impact on non-banking financial intermediation than the global financial crisis. The theoretical significance of the results obtained is to identify the structure of global non-banking financial intermediation, as well as to propose a criterion for countries' leadership in terms of its level. The practical significance lies in the possibility of using the results obtained in the development of measures to ensure the stability of financial markets both at the global and national levels.

show abstract

Risk Management Tools in AIFs: The Case of AIFMD

Peridis¹

2022

Alternative Lending

View full text Add to dashboard Cite

Developing Macroprudential Policy for Alternative Investment Funds

Cited by 6 publications

References 20 publications

Towards a macroprudential regulatory framework for mutual funds?

Towards a macroprudential regulatory framework for mutual funds?

Nonbank Financial Intermediation in Times of Crisis: Identifying Leadership in the G20 Countries

Risk Management Tools in AIFs: The Case of AIFMD

Contact Info

Product

Resources

About