Using high-frequency, granular panel data on short-term debt securities issued in Europe, we study the existence, empirical boundaries, and fragility of private assets' safety. We show that only securities with the shortest maturities, issued by banks (certificates of deposit, or CDs), benefit...

In March 2020, against the backdrop of a worsening Covid crisis, some segments of the money market fund (MMF) industry faced severe redemption pressures. Given their central role within the short term funding market, MMFs were at the heart of financial stability concerns, and legitimately...

This paper introduces a new type of nonlinear model, the min-max model, and analyzes the properties for a pair of series. Stability conditions of this system are given for the nonlinearly integrated bivariate series. Under these stability conditions, the difference of the two series has a...