BIS authors design game of asset managers
Cash “hoarding is rule, rather than exception”
Asset managers tend to amplify the effect of investor redemptions by increasing their holdings of cash, simultaneously worsening fire sales, research published by the Bank for International Settlements finds.
The working paper by Stephen Morris, Ilhyock Shim and Hyun Song Shin, published today (January 30), sets out a global game analysis of investor runs and an empirical investigation. The authors seek to determine whether asset managers prepare cash buffers before stress events or build up
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