政策利率不确定性性与货币市场基金（MMF）投资组合配置

Federal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online) Policy Rate Uncertainty and Money Market Funds (MMF)Portfolio Allocations Samin Abdullah, Manjola Tase 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, 2025 Abstract We 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 RRP JEL Classification: G11, G23, E52 1Introduction Money 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 term, liquid securities including U.S. Treasurybills, commercial paper, certificate of deposits, and repurchase agreements.The interest rate onthese instruments is closely related to the monetary policy rate and its expected path. Furthermore,eligible MMF play a role in the implementation of the monetary policy through their participationat the Federal Reserve’s Overnight Reverse Repurchase Agreement (ON RRP) facility which servesas a supplementary policy tool to help control the federal funds rate. In terms of MMF portfoliocomposition, the ON RRP is the closest substitute to private repo and Treasury bills and it playsan important role in MMF portfolio management. As MMF yields are closely related to the policy rate path and MMF play an important rolein the Fed’s implementation framework through their participation at the ON RRP facility, it isimportant to understand MMF portfolio decisions as they relate to monetary policy. In this paper,we look at the effect of policy rate uncertainty on portfolio allocations.Our analysis covers theperiod November 2010 to December 2024. We use two distinct measures of interest rate uncertainty:market- and survey-based measures. Our market-based measure is the swaption-implied volatilityfrom derivatives based on the policy rate. Our survey-based measures are based on the forecast forthe federal funds rate (FFR) - the Fed’s policy rate - from the Blue Chip Financial Survey.Weconstruct three survey-based measures of policy rate uncertainty: range of the forecast (dispersionacross forecasters), share of upward revisions to the forecast (the share of forecasters revising theirforecast to a larger increase or a smaller decrease in the rate), and share of downward revisions tothe forecast (the share of forecasters revising their forecast to a smaller increase or a larger decreasein the rate).We find that our market-based and survey-based measures show similar dynamics.Furthermore, while the range of forecast and the implied volatility capture uncertainty in general, our measures of uncertainty based on revisions to the forecast allows us to distinguish the directionof uncertainty.On MMF characteristics, we use two distinct datasets.The N-MFP dataset is amonthly dataset and includes the entire MMF universe. iMoneyNet is a weekly dataset, but it hasa smaller coverage and it does not distinguish between take-up at the Federal Reserve’s overnightreverse purchase (ON RRP) facility and private repo. First, we find that an increase in policy rate uncertainty measured either by the swaption-implied volatility or the range of forecasts is associated with a decrease in the maturity of MMFportfolio.Second, using survey-based measures of uncertainty constructed from revisions to theforecast, we find that the direction of uncertainty matters.MMF portfolio maturity is twice assensitive to uncertainty as measured by upward revisions t