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Research

 Research Interests

  • Macro-finance

  • Theoretical and Empirical Asset Pricing

  • Banking and Financial Markets

Research Paper 1

MonetaryPolicy, Unanchored Inflation Expectation Risk andGovernment Bond
Premia: An Indian Market Perspective (Job Market Paper)

The paper examines the dynamics behind the persistent term premium (risk premium) of ten-year Indian Gsecs, particularly under the current inflation targeting regime, with a particular emphasis on the drifts in the ten-year ahead inflation expectations. The Expectation Hypothesis channel of the ten-year bonds declined with the implementation of a lower inflation target of 4%, but the term premium component of these long-term bonds continues to fluctuate on average in the range of 110 basis points (bps) to 220 bps in both the pre and post-IT periods. This persistently large magnitude of term premium primarily arises from unanchored drifts in long-term inflation expectations of the bond market participants, which occasionally get upward-revised during periods of counter-cyclical inflation. The underlying inflation in these periods exceeds substantially upper rational bounds of the participants with short-term inflation expectations. Such breaches recur frequently within a short span of five years, making  participants hedge the risk by charging a persistent term premium.

Research Paper 2

Corporate Borrowing Constraint and Bond Term Premium

This paper explains corporate bond yields and term premiums in the U.S. financial market, with a particular emphasis on the financial market segmentation and the debt specifications imposed on non-financial intermediaries, namely earnings-based and collateral-based constraints. The research presents empirical evidence demonstrating that supply-side shocks, particularly investment shocks, exhibit a positive correlation between financial institutions' leverage (asset-to-equity ratio) and net worth with bond yields, term premiums, and corporate debt issuance. This, in turn, contributes to real economic expansion. The findings indicate that these relationships can be effectively modeled within a sticky price framework that incorporates earnings-based constraints and financial segmentation. However, the study also reveals that such quantitative modeling fails to hold in an economy primarily governed by collateral-based constraints, even when accounting for financial market segmentation.

Teaching

Teaching Assistantship

 

  • Advance Value Investing; Target Audience: Executive MBA and MBA

  • Venture Capital, Private Equity and Public Markets; Target Audience: Executive MBA and MBA

  • Accounting for Decision Making; Target Audience: MBA

  • Financial Derivatives; Target Audience: MBA

  • Global Securities Markets; Target Audience: MBA

Teaching  Interest

  • Research Themed Courses:

  1. Macroeconometreics and Macro-finance

  2. Time Series and Financial Econometrics  

  3. Deep Learning & Machine Learning for Economists

  4. Corporate Finance and Financial Institutions

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  • ​Business Application Courses: ​

  1. Debt market and Fixed income Strategies

  2.  Investment Management and Trading Strategies

  3. Advance Value Investing and Valuation

  4. Financial Derivatives

  5. Corporate Finance

  6. Cost Management

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