公募基金抛售外部性与流动性管理:机理、后果及政策效果  

Mutual Fund Fire-sales Externalities and Liquidity Management:Mechanisms,Consequences and Policy Effects

作　　者：王辉[1] 宁炜 WANG Hui;NING Wei

机构地区：[1]中央财经大学金融学院

出　　处：《中央财经大学学报》2022年第8期25-42,共18页Journal of Central University of Finance & Economics

基　　金：国家自然科学基金项目“基于线性及非线性模型的高维金融时间序列建模:理论及应用”(项目编号:71771224);国家社会科学基金重大项目“负利率时代金融系统性风险的识别和防范研究”(项目编号:20&ZD101)。

摘　　要：本文将公募基金“高频低损”常态化赎回、流动性错配、管理资产规模激励等因素同时考虑在内,构建了一个多期理论框架分析公募基金抛售风险资产导致的风险传染与最优流动性管理。研究表明,第一,净值计算规则所导致的流动性错配放大了投资者赎回和风险资产抛售之间的棘轮效应;第二,相对单期基准模型而言,本文所构建的多期模型可以更加准确地刻画抛售风险,所确定的最优流动性储备可以有效降低抛售对关联基金的负外部性;第三,出于在管资产规模最大化激励目标,公募基金有动机持有额外流动性储备降低自身资产抛售对关联基金的外部性成本;第四,最优流动性储备与市场状态呈现正相关关系,与市场非流动性水平、投资者净值下跌敏感程度以及与关联基金风险资产持仓相似程度呈现负相关关系;第五,巨额赎回条款可以缓解基金在初期的抛售压力,降低剩余投资者承担的清算成本,显著降低资产抛售对风险资产价格的影响。In this paper,we construct a multi-period theoretical framework,which incorporates the characteristics such as high-frequency low-loss redemptions,liquidity mismatch,and size incentive of mutual fund manager,to analyze the risk contagion and the related liquidity management.The results show that,firstly,the liquidity mismatch caused by mutual funds’net asset value calculation rules makes the remaining fund investors bear the liquidation costs of initial investor redemptions,amplifying fire-sale’s negative impact on risky asset prices and the ratchet effect between investor redemptions and asset fire-sales.Secondly,compared with the single-period benchmark model,the multi-period model constructed in this paper can more accurately characterize the fire-sale risk,and the optimal liquidity reserve determined in this paper can effectively reduce the negative externality of fire-sale on affiliated funds.Thirdly,with the incentive of maximizing the size of assets under management,mutual funds do have an incentive to hold additional liquidity reserves to reduce the externality cost of fire-sale on affiliated funds.Moreover,for the parameters sensitivity,optimal liquidity reserve shows a positive relationship with the state of the market and a negative relationship with the level of market illiquidity,the sensitivity of investors to a market decline and the similarity of asset holding with affiliated funds.Furthermore,this paper evaluates the policy effects of large redemption restriction.We find that the large redemption restriction alleviates the fund’s initial fire-sale pressure,reduces the liquidation costs borne by the remaining investors,eases the fund’s liquidity constraint,and can significantly reduce the fire-sale impact on risky assets prices.

关 键 词：投资者赎回 基金抛售 棘轮效应 流动性管理 巨额赎回条款 

分 类 号：F830.9[经济管理—金融学] F832.5