Swing Pricing Calibration: Using ETFs to Infer Swing Factors for Mutual Funds
研究了如何利用短期债务交易所交易基金的定价动态，为投资类似资产的共同基金推断摆动因子，以帮助政策制定者评估摆动定价对金融稳定的影响。
Policymakers are assessing potential options to reduce the financial stability risks posed by open-ended mutual funds. One such option is swing pricing, or the process of adjusting a fund’s net asset value per share in response to its level of net investor activity. Calibrating a key component of swing pricing, the swing factor, can be difficult, particularly for funds that invest in certain types of debt instruments. We use the pricing dynamics of exchange-traded funds that invest primarily in short-term debt to infer a range of swing-factor-proxies for mutual funds that invest in similar assets. These proxies could be useful to inform swing factors (or costs for other economically equivalent mechanisms, such as liquidity fees) for certain bond funds, during periods of stress.