IDEAS home Printed from https://ideas.repec.org/p/bis/bisblt/39.html
   My bibliography  Save this paper

Liquidity management and asset sales by bond funds in the face of investor redemptions in March 2020

Author

Listed:
  • Andreas Schrimpf
  • Ilhyock Shim
  • Hyun Song Shin

Abstract

Investor redemptions are one factor behind asset sales by open-ended mutual funds, but an important additional factor is the selling due to the funds' liquidity management. Funds holding illiquid assets reacted to redemptions in March 2020 by adding to their cash buffers even after meeting investor redemptions. For such funds, asset sales exceeded investor redemptions. Increases in end-of-period cash holdings were less pronounced for funds that started the stress period with larger buffers, suggesting that such funds were less prone to selling at the height of the stress.

Suggested Citation

  • Andreas Schrimpf & Ilhyock Shim & Hyun Song Shin, 2021. "Liquidity management and asset sales by bond funds in the face of investor redemptions in March 2020," BIS Bulletins 39, Bank for International Settlements.
  • Handle: RePEc:bis:bisblt:39
    as

    Download full text from publisher

    File URL: https://www.bis.org/publ/bisbull39.pdf
    File Function: Full PDF document
    Download Restriction: no

    File URL: https://www.bis.org/publ/bisbull39.htm
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bis:bisblt:39. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Martin Fessler (email available below). General contact details of provider: https://edirc.repec.org/data/bisssch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.