| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13387 |
| DP13387 A Global Safe Asset for and from Emerging Market Economies | |
| Markus Brunnermeier | |
| 发表日期 | 2018-12-12 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | This paper examines international capital flows induced by flight-to-safety and proposes a new global safe asset. In the model domestic investors have to co-invest in a safe asset along with their physical capital. At times of crisis, investors replace the initially safe domestic government bonds with safe US Treasuries and fire-sell part of their capital. The reduction in physical capital lowers GDP and tax revenue, leading to increased default risk justifying the loss of the government bond's safe-asset status. We compare two ways to mitigate this self-fulfilling scenario. In the "buffer approach” international reserve holding reduces the severity of a crisis. In the "rechannelling approach'' flight-to-safety capital flows are rechannelled from international cross-border flows to flows across two EME asset classes. The two asset classes are the senior and junior bond of tranched portfolio of EME sovereign bonds. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Flight to safety Capital flows Sudden stop Sovereign bond backed securities Sbbs |
| URL | https://cepr.org/publications/dp13387 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542198 |
| 推荐引用方式 GB/T 7714 | Markus Brunnermeier. DP13387 A Global Safe Asset for and from Emerging Market Economies. 2018. |
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