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dc.contributor.author
Ioannidis, Filippos
en
dc.date.accessioned
2017-03-22T15:27:16Z
dc.date.available
2017-03-23T01:00:15Z
dc.date.issued
2017-03-22
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/15198
dc.rights
Default License
dc.subject
Shadow Banking
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dc.subject
Investment Funds
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dc.subject
Systemic Risk
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dc.subject
Regulatory Arbitrage
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dc.title
The Evolution of Shadow Banking: The Case of US Investment Funds
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heal.type
masterThesis
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heal.secondaryTitle
The Case of US Investment Funds
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heal.keywordURI.LCSH
Nonbank financial institutions--United States
heal.keywordURI.LCSH
Finance--United States
heal.keywordURI.LCSH
Investment banking--United States
heal.language
en
el
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
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heal.references
Adrian, T. and Ashcraft, A. (2012) “ Shadow Banking: A literature Review ” Economic Policy Review, Staff Report No. 580. Agarwal, V ., and N. Y. Naik, (2004) “ Risks and Portfolio Decisions Involving Hedge Funds” The Review of Financial Studies Spring 2004 Vol. 17, No. 1, pp. 63±98. Bengtsson E. (2013) “ Fund Management and Systemic Risk - Lessons from the Global Financial Crisis ” City Po litical Economy Research Centre, CITPERC Working Paper Series No. 2013/06 . Botta, A., Caverzasi E.and Tori D. (2015) “ Financial - Real - Side Interactions in an Extended Monetary Circuit with Shadow Banking, Loving or Dangerous Hugs? ” Taylor & Francis Group. International Journal of Political Economy, 44: 196 - 227. Bouveret A. (2011) “ An assessment of the shadow banking in Europe ” SSRN, Available & retrieved from: https://papers.ssrn. com/sol3/papers.cfm?abstract_id=2027007 Calmes, C. and Theoret, R (2010) “ The of Off - Balance Sheet Activities on Bank Returns: An Application of the ARCH - M to Canadian Data. ” Journal of Banking & Finance, Volume 34. (1719 - 1728). Canofari P.,Bartolomeo G. , Piersanti G. (2014) “ Theory and Practice of Contagion in Monetary Unions: Domino Effects in EMU Mediterranean Countries ” International Atlantic Economic Society. Chernenko, S. and Sunderam, A. (2014) “ Frictions in Shadow Banking: Evidence from the Lendi ng Behavior of Money Market Mutual Funds” Review of Financial Studies, Volume 27. Claessens, S., Pozsar, Z., Ratnovski, L. and Singh, M. (2012) “ Shadow Banking: Economics and Policy ” IMF Staff discussion Note 12/12. Claessens, S., Ratnovski, L. (2014) “ Wha t is Shadow Banking ” IMF Staff, Working paper 14/15. Davis, E. (2003) “ Institutional investors, financial market efficiency, and financial stability ” EIB papers. Luxembourg: EIB, ISSN 0257 - 7755, ZDB - ID 21154697. - Vol. 8.2003, 1, p. 77 - 107 . Doyle N., Herma ns L., Molitor Ph. and Weistroffer C.(2016) “ Shadow Banking in the euro area: risks and vulnerabilities in the investment fund sector ” European Central Bank, Occasional Paper Series No 174. Fein M. (2013): “ The Shadow Banking Charade ”, SSRN, Available & re trieved from: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2218812 Fiaschi D, Kondor I, Marsili M, Volpati V (2014) “ The Interrupted Power Law and the Size of Shadow Ban king” . Plos One 9(4): e94237. doi:10.1371/journal.pone.0094237 . Financial Stability Board (2013)” Strengthening Oversight and Regulation of Shadow Banking” 44 Financial Stability Board. (2015) “ Global Shadow Banking Monitoring Report”. Retrieved from FSB: http://www.financialstabilityboard.org/publications/r_121118c.pdf Fung W. and Hsieh D (2001) “ The risk in hedge fund strategies: theory and evidence from trend followers ” Th e Review of Financial Studies Page 313 . Gennaioli, N. Shleifer, A. and Vishny, R (2013) “ A model of Shadow Banking ” The Journal of Finance, Volume 68. Gertler, M., Kiyotaki, N. and Prestipino, A. (2015) “ Wholesale Banking and Bank Runs in Macroeconomic Mod elling of Financial Crises” NYU, Princeton University and Federal Reserve Board of Governors. Gorton, G. and Metrick, A. (2010) “ Regulating the Shadow Banking System ” Brookings Papers on Economic Activity, Volume 41. Grochulskiy, B and Zhangz, Y. (2015) “ O ptimal liquidity regulation with shadow banking ” Federal Reserve Bank of Richmond, Working Paper (15 - 12). Hanson S. Kashyap A. and Stein J. (2011) “ A macroprudential Approach to Financial Regulation ” Journal of Economic Perspectives, Volume 25, Number 1 Pa ges 3 - 28. Kessler, O and Wilhelm, B (2013) “ Financialization and the Three Utopias of Shadow Banking” Competition and change, Vol. 17 No. 3 (248 – 64). Lehecka G. and Ubl E.(2015) “ Analyzing the systemic risks of alternative investment funds based on AIFMD r eporting a primer ” Oesterreichische National Bank, Financial Stability Report 30 Liang Y. (2016) “ Shadow Banking in China: Implications for Financial Stability and Macroeconomic Rebalancing ” Taylor & Francis Group. The Chinese Economy, 49: 148 - 160. Luttrel l, D. Rosenblum, H. and Thies, J. (2012) “ Understanding the Risks Inherent in Shadow Banking: A Primer and Practical Lessons Learned” Federal Reserve Bank of Dallas in its Journal “Staff Papers”. Perroti E. (2012) “ The Roots of Shadow Banking ” Duisenberg S chool of Fin ance Policy Paper Series No 24. Plantin, G (2015) “ Shadow Banking and Bank Capital Regulation” Review of Financial Studies, Volume 28, (146 - 175). Pozsar, Z and Singh M . ( 2011) “ The Nonbank - Bank Nexus and the Shadow Banking System ” International Monetary Fund, Working Paper 11/289 Pozsar, Z. (2008) “ The rise and fall of the Shadow Banking System” Regional Financial Review. Moody’s Analytics . Pozsar, Z. Adrian T., Ashcraft A. & Boesky H. (2012) “ Shadow Banking ” Federal Reserve Bank of New York Sta ff Reports No. 458. Rixen T. (2013) “ Why regulation after the crisis is feeble: Shadow Banking, offshore financial centers, and jurisdictional competition ” Regulation & Governance Volume 7, Pages 435 - 459 45 Samuel G. Hanson, S., Kashyap, A.and Stein, J. (201 1) “ A Macroprudential Approach to Financial Regulation” Journal of Economic Perspectives, Volume 25, (3 – 28). Sinha A. (2013) “ Regulation of Shadow Banking - Issues and Challenges ” Speech by Deputy Governor of the Reserve Bank of India, Mumbai 7 January 2013 . Stein, J (2010). “ Securitization, Shadow Banking, and Financial Fragility .” Daedalus 139 (4): 41 - 51. Subramanian A. (2013) “ Shadow banking and aftermath of financial crisis – An impact analysis to address the emerging challenges. Amity Global Business Re view, Vol. 8, p74 - 79. 6p. Sunderam, A. (2014) “Money Creation and the Shadow Banking System ” Review of Financial Studies, Volume 28. (939 - 97). Szunke A.(2014) “ The role of financialization in banking sector instability ” Journal of Economic and Managemen t Volume 16, pages 98 - 111 . Thiemann M. (2012) “ Out of the Shadows? Accounting for Special Purpose Entities in European Banking Systems. ” Journal Competition and Change Vol 16No 1. Pages 37 - 55 . Verick S. and Islam I. (2010), “ The Great Recession of 2008 - 200 9: Causes, Consequences and Policy Responses ”. IZA Discussion Paper No. 4934 available at: http://ftp.iza.org/dp4934.pdf
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heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
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heal.publicationDate
2017-03-22
heal.abstract
Shadow banking is commonly characterized as the answer of the modern financial industry to regulatory arbitrage. The main objective of the paper is to underline the magnitude of fragility that lies beneath the sector by analyzing both theoretically and empirically its evolution. The study highlights its complex structure, basic components and numerous implications accompanied with its function. Precisely, the size and role of investment funds sector is examined since its’ growth possess several vulnerabilities. Based on an existing methodology and using data from the United States, regarding the period 2002-2015, the study identifies a statistically significant relationship between specific sectors of investment funds and money demand. The main empirical findings provide robust evidence that investors run towards various sectors of investment funds and still constitute to the rise of shadow banking.
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heal.tableOfContents
Preface: ................................ ................................ ................................ ................................ ..... 1 Abstract: ................................ ................................ ................................ ................................ ... 2 1. Introduction ................................ ................................ ................................ ......................... 5 2. Literature Review ................................ ................................ ................................ ................ 8 3 . Shadow Banking ................................ ................................ ................................ ................ 10 3.1. Definition ................................ ................................ ................................ ...................... 10 3.2. Magnitude ................................ ................................ ................................ ..................... 11 3.3. Struc ture ................................ ................................ ................................ ........................ 14 3.3.1. Credit Intermediation ................................ ................................ ............................. 14 3.3.2. Securitization ................................ ................................ ................................ ......... 17 3. 4. Components ................................ ................................ ................................ .................. 19 3.4.1. Asset - Backed Commercial Papers (ABCPs): ................................ ........................ 19 3.4.2. Repurchase Agreements (Repos): ................................ ................................ .......... 20 3.4.3. Money Market Mutual Funds (MMMFs): ................................ ............................. 20 3.4.4. Special Purpose Vehicles (SPVs): ................................ ................................ ......... 22 3 .5. Benefits ................................ ................................ ................................ ......................... 23 3.6. Implications ................................ ................................ ................................ .................. 24 3.6.1. Regulatory Arbitrage ................................ ................................ .............................. 24 4. Investment Funds ................................ ................................ ................................ .............. 26 4.1. Advantages of Investment Funds ................................ ................................ ................. 28 4.2. Vulnerabilities of Investment Funds ................................ ................................ ............. 29 5. Empirical Analysis ................................ ................................ ................................ ............ 32 5.1. Hypothesis Stating ................................ ................................ ................................ ........ 32 5.2. Data and Empirical Specification ................................ ................................ ................. 32 5.3. Empirical Findings ................................ ................................ ................................ ....... 34 6. Discussion ................................ ................................ ................................ ........................... 38 6.1. Regulatory Delu sion ................................ ................................ ................................ ..... 38 7. Concluding Remarks ................................ ................................ ................................ ......... 40 7.1. Suggestions ................................ ................................ ................................ ................... 40 7.2. Limitatio ns ................................ ................................ ................................ .................... 41 7.3. Conclusions ................................ ................................ ................................ .................. 41 References ................................ ................................ ................................ .............................. 43 Appendix ................................ ................................ ................................ ................................ ... I
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heal.advisorName
Kosmidou, Kyriaki
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heal.committeeMemberName
Grose, Christos
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heal.committeeMemberName
Sikalidis, Alexandros
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heal.academicPublisher
IHU
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heal.academicPublisherID
ihu
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heal.numberOfPages
45
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heal.spatialCoverage
United States of America
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