| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP8557
|
| DP8557 Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis |
| Andrew Rose; Mark Spiegel
|
| 发表日期 | 2011-09-01
|
| 出版年 | 2011
|
| 语种 | 英语
|
| 摘要 | While the global financial crisis was centered in the United States, it led to a surprising appreciation in the dollar, suggesting global dollar illiquidity. In response, the Federal Reserve partnered with other central banks to inject dollars into the international financial system. Empirical studies of the success of these efforts have yielded mixed results, in part because their timing is likely to be endogenous. In this paper, we examine the cross-sectional impact of these interventions. Theory consistent with dollar appreciation in the crisis suggests that their impact should be greater for countries that have greater exposure to the United States through trade and financial channels, less transparent holdings of dollar assets, and greater illiquidity difficulties. We examine these predictions for observed cross-sectional changes in CDS spreads, using a new proxy for innovations in perceived changes in sovereign risk based upon Google-search data. We find robust evidence that auctions of dollar assets by foreign central banks disproportionately benefited countries that were more exposed to the United States through either trade linkages or asset exposure. We obtain weaker results for differences in asset transparency or illiquidity. However, several of the important announcements concerning the international swap programs disproportionately benefited countries exhibiting greater asset opaqueness. |
| 主题 | International Macroeconomics
|
| 关键词 | Dollar
exchange rate
Federal Reserve
Financial crisis
Illiquidity
Swap
Taf
|
| URL | https://cepr.org/publications/dp8557
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537394
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推荐引用方式
GB/T 7714 |
Andrew Rose,Mark Spiegel. DP8557 Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis. 2011.
|
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