Dörr, Sebastian; Eren, Egemen; Malamud, Semyon - 2024
We introduce a new channel through which US money market funds (MMFs) affect the pricing of near-money assets and … exacerbated by T-bill market illiquidity. Using instrumental variables, we show that MMFs have an economically significant price … impact in the T-bill market. Consistent with strategic behavior, they internalize this price impact when setting repo rates …