Estimating demand for liquid assets

Author(s)
Sastry, Parinitha(Parinitha R.)
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Sloan School of Management.
Advisor
Adrien Verdelhan.
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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).
 
Date issued
2020
URI
https://hdl.handle.net/1721.1/126960
Department
Sloan School of Management
Publisher
Massachusetts Institute of Technology
Keywords
Sloan School of Management.
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