货币市场基金的市场集中度影响了其风险承担吗?

Does the Market Concentration of MMF Affect Their Risk-taking?

在市场利率化的推动以及互联网金融的快速发展下,我国货币市场基金市场结构发生了较大的变化,这种外部环境的改变是否影响了货币市场基金的风险承担?本文以2010-2016年货币市场基金相关数据,考察货币市场基金市场集中度的变化对货币市场基金风险承担的影响。结果发现:(1)货币市场基金的风险承担与货币市场集中度呈显著的负相关关系,且这种风险承担与货币基金特征异质性无关,但宽松的货币政策、实行"T+0"赎回都会导致基金的风险承担增加。(2)通过引入双重差分方法检验货币基金"互联网化"这一外生冲击对货币市场基金风险承担的影响,发现互联网货币基金的风险承担增加,而传统货币市场基金的风险承担有所下降。(3)基金规模排名以及业绩锦标赛制度会使得货币市场基金主动提高其风险承担水平。本文的研究结论可为金融监管提供一定政策启示。

In the process of interest rate liberalization and the rapid development of Internet finance,great changes have taken place in the Chinese money market fund（ MMF）,the MMF market became more and more concentrated. Based on 2010-2016 years ＇ money market fund data,this paper investigates the impact of money market fund market concentration on the risk taking of money market funds. This paper found that（ 1）the risk-taking of money market funds and market concentration is negatively related,and the risk-taking has nothing with heterogeneity,but loose monetary policy will lead to the incensement of fund risk-taking.（ 2） By using the difference-in-difference method,we found that internet-MMF take more risk than traditional MMF.（ 3） The scale-chasing of fund and the performance championships still make the money market fund taking more risk actively.