G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16712
DP16712 Scrambling for Dollars: International Liquidity, Banks and Exchange Rates
Javier Bianchi; Saki Bigio; Charles Engel
发表日期2021-11-11
出版年2021
语种英语
摘要We develop a theory of exchange rate fluctuations arising from financial institutions’ demand for dollar liquid assets. Financial flows are unpredictable and may leave banks “scrambling for dollars.” Because of settlement frictions in interbank markets, a precautionary demand for dollar reserves emerges and gives rise to an endogenous convenience yield on the dollar. We show that an increase in the dollar funding risk leads to a rise in the convenience yield and an appreciation of the dollar, as banks scramble for dollars. We present empirical evidence on the relationship between exchange rate fluctuations for the G10 currencies and the quantity of dollar liquidity, which is consistent with the theory.
主题International Macroeconomics and Finance
关键词Exchange rates Liquidity premia monetary policy
URLhttps://cepr.org/publications/dp16712
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/545648
推荐引用方式
GB/T 7714
Javier Bianchi,Saki Bigio,Charles Engel. DP16712 Scrambling for Dollars: International Liquidity, Banks and Exchange Rates. 2021.
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