美联储-政策利率不确定性与货币市场基金（MMF）投资组合配置（英）

Finance and Economics Discussion SeriesFederal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online)Policy Rate Uncertainty and Money Market Funds (MMF)Portfolio AllocationsSamin Abdullah, Manjola Tase2025-063Please cite this paper as:Abdullah, Samin, and Manjola Tase (2025).“Policy Rate Uncertainty and MoneyMarket Funds (MMF) Portfolio Allocations,” Finance and Economics Discussion Se-ries 2025-063.Washington:Board of Governors of the Federal Reserve System,https://doi.org/10.17016/FEDS.2025.063.NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment. The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.Policy Rate Uncertainty and Money Market Funds (MMF)Portfolio Allocations∗Samin Abdullah†Manjola Tase‡July 23, 2025AbstractWe find that an increase in policy rate uncertainty is associated with an increase in MMFportfolio allocations towards assets with shorter-dated maturities. We also find that the directionof uncertainty matters: MMF portfolio maturity is more sensitive to uncertainty when it relatesto changes in expectations for a larger increase or a smaller decrease in the policy rate thanwhen it relates to changes in expectations for a smaller increase or a larger decrease in thepolicy rate. Furthermore, for MMF that are eligible to participate at the Federal Reserve’sOvernight Reverse Repurchase Agreement (ON RRP) facility, we find that when policy rateuncertainty increases, MMF adjust their portfolio composition by increasing their take-up atthe facility. This suggests that the ON RRP facility helps smooth fluctuations in short-termfunding markets.Keywords: money market funds, portfolio allocations, monetary policy expectations, uncer-tainty, Federal Reserve, ON RRPJEL Classification: G11, G23, E52∗The analysis and conclusions set forth are our own and do not necessarily reflect the views of the Board ofGovernors or the staff of the Federal Reserve System. We thank David Bowman, Chris Gust, Sebastian Infante,Zeynep Senyuz and seminar participants at the Federal Reserve Board for their helpful comments. We thank ErikBostrom for sharing the mapping used to identify ON RRP-eligible counterparties in the N-MFP and iMoneyNetdatasets. All remaining errors are our own.†Federal Reserve Board, E-mail: samin.abdullah@frb.gov.‡Federal Reserve Board, E-mail: manjola.tase@frb.gov (corresponding author).11IntroductionMoney Market Funds (MMF) are an integral part of financial markets as they provide low risk,highly liquid shares to investors. As of December 2024, MMF held around $7.2 trillion in assetsunder management (AUM). MMF invest in short