| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13869 |
| DP13869 Exchange Rate Reconnect | |
| Andrew Lilley; Matteo Maggiori; Brent Neiman; Jesse Schreger | |
| 发表日期 | 2020-01-24 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | The failure to find fundamentals that co-move with exchange rates or forecasting models with even mild predictive power – facts broadly referred to as “exchange rate disconnect” – stands among the most disappointing, but robust, facts in all of international macroeconomics. In this paper, we demonstrate that U.S. purchases of foreign bonds, which did not co-move with exchange rates prior to 2007, have provided significant in-sample, and even some out-of-sample, explanatory power for currencies since then. We show that several proxies for global risk factors also start to co-move strongly with the dollar and with U.S. purchases of foreign bonds around 2007, suggesting that risk plays a key role in this finding. We use security-level data on U.S. portfolios to demonstrate that the reconnect of U.S. foreign bond purchases to exchange rates is largely driven by investment in dollar-denominated assets rather than by foreign currency exposure alone. Our results support the narrative emerging from an active recent literature that the US dollar’s role as an international and safe-haven currency has surged since the global financial crisis. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| URL | https://cepr.org/publications/dp13869-0 |
| 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/543242 |
| 推荐引用方式 GB/T 7714 | Andrew Lilley,Matteo Maggiori,Brent Neiman,et al. DP13869 Exchange Rate Reconnect. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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