Estimating demand for liquid assets
Name
1191221345-MIT.pdf
Size
1.05 MB
Format
Adobe PDF
Checksum (MD5)
d6cd968492560965dd0c6235d9009f35
Author(s)
Sastry, Parinitha(Parinitha R.)
Advisor(s)
Adrien Verdelhan.
Date Issued
2020
Publisher
Massachusetts Institute of Technology
Abstract
This paper proposes a simple structural model to study substitution patterns within the class of safe and liquid assets at the extreme short-end of the yield curve (maturity <1YR). I estimate the demand system by exploiting plausibly exogenous variation in safe asset issuance due to regulatory requirements (''window dressing"). Under this identifying assumption, month-end dummies can be considered supply shocks and can be used to instrument quantities. 2SLS estimates suggest nearly perfect substitutability between treasury securities and financial commercial paper.
Description
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, May, 2020
Cataloged from the official PDF of thesis.
Includes bibliographical references (pages 21-22).
Subjects
Sloan School of Management.
MIT Department
Sloan School of Management
Terms of Use
MIT theses may be protected by copyright. Please reuse MIT thesis content according to the MIT Libraries Permissions Policy, which is available through the URL provided.
Persistent DSpace Link
