Browsing by Author "Sunderam, Aditya"
Now showing items 1-11 of 11
-
Are There Too Many Safe Securities? Securitization and the Incentives for Information Production
Hanson, Samuel Gregory; Sunderam, Aditya Vikram (2013-04-18)We present a model that helps explain several past collapses of securitization markets. Originators issue too many informationally insensitive securities in good times, blunting investor incentives to become informed. The ... -
Business Credit Programs in the Pandemic Era
Hanson, Samuel; Stein, Jeremy; Sunderam, Aditya; Zwick, Eric (2020-09)We develop a pair of models that speak to the goals and design of the sort of business-lending and corporate-bond purchase programs that have been introduced by governments in response to the ongoing COVID-19 pandemic. An ... -
Essays in Financial Economics
Kirti, Divya (2016-04-25)The chapters in this dissertation study the incidence of risk, risk taking, and the role of markets used to trade risk, with a focus on interest-rate risk. In Chapter 1, I ask why bank-dependent firms bear interest-rate ... -
An Evaluation of Money Market Fund Reform Proposals
Hanson, Samuel Gregory; Scharfstein, David Stuart; Sunderam, Aditya Vikram (2015-09-29)U.S. money market mutual funds (MMFs) are an important source of dollar funding for global financial institutions, particularly those headquartered outside the U.S. MMFs proved to be a source of considerable instability ... -
Frictions in Shadow Banking: Evidence from the Lending Behavior of Money Market Mutual Funds
Chernenko, Sergey; Sunderam, Aditya (Oxford University Press (OUP), 2014-04-07)We document the consequences of money market fund risk taking during the European sovereign debt crisis. Using a novel data set of security-level holdings of prime money market funds, we show that funds with large exposures ... -
The Growth and Limits of Arbitrage: Evidence from Short Interest
Hanson, Samuel Gregory; Sunderam, Aditya Vikram (Oxford University Press (OUP), 2013-10-07)We develop a novel methodology to infer the amount of capital allocated to quantitative equity arbitrage strategies. Using this methodology, which exploits time-variation in the cross section of short interest, we document ... -
Money Creation and the Shadow Banking System
Sunderam, Aditya Vikram (Oxford University Press (OUP), 2015)Many explanations for the rapid growth of the shadow banking system in the mid-2000s focus on money demand. This paper asks whether the short-term liabilities of the shadow banking system behave like money. We first present ... -
Precautionary Savings in Stocks and Bonds
Pflueger, Carolin; Siriwardane, Emil Nuwan; Sunderam, Aditya Vikram (2017-03-23)We document a strong and robust relation between the one-year real rate and precautionary savings motives, as measured by the stock market. Our novel proxy for precautionary savings, based on the difference in valuations ... -
Preference Elicitation in Proxied Multiattribute Auctions
Sunderam, Aditya Vikram; Parkes, David C. (Association for Computing Machinery, 2003)We consider the problem of minimizing preference elicitation in efficient multiattribute auctions, that support dynamic negotiation over non-price based attributes such as quality, time-of-delivery, and processor speed. ... -
Social Risk, Fiscal Risk, and the Portfolio of Government Programs
Hanson, Samuel; Scharfstein, David; Sunderam, Adi (Oxford University Press (OUP), 2019-06-01)We develop a model of government portfolio choice in which a benevolent government chooses the scale of risky projects in the presence of market failures and tax distortions. These two frictions generate motives to manage ... -
The Variance of Non-Parametric Treatment Effect Estimators in the Presence of Clustering
Hanson, Samuel; Sunderam, Adi (Massachusetts Institute of Technology Press (MIT Press), 2012)Nonparametric estimators of treatment effects are often applied in settings where clustering may be important. We provide a general methodology for consistently estimating the variance of a large class of nonparametric ...