Browsing BI Open by Author "Sundaresan, Suresh M."
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An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans
Klingler, Sven; Sundaresan, Suresh M. (Journal article; Peer reviewed, 2019)The 30‐year U.S. swap spreads have been negative since September 2008. We offer a novel explanation for this persistent anomaly. Through an illustrative model, we show that underfunded pension plans optimally use swaps for ... -
Diminishing Treasury Convenience Premiums: Effects of Dealers' Excess Demand In Auctions
Klingler, Sven; Sundaresan, Suresh M. (Peer reviewed; Journal article, 2023)After the global financial crisis, the yields of U.S. Treasury bills frequently exceed other risk-free rate benchmarks, thereby pointing to a diminishing convenience premium. Constructing a new measure of dealers' balance ...