全球智库信息集成服务系统(G2TT): DP17472 Uncertainty Shocks, Capital Flows, and International Risk Spillovers

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP17472
	DP17472 Uncertainty Shocks, Capital Flows, and International Risk Spillovers
	Ozge Akinci Emekli; Sebnem Kalemli-Ozcan; Albert Queralto
发表日期	2022-07-14
出版年	2022
语种	英语
摘要	Foreign investors' changing appetite for risk-taking have been shown to be a key determinant of the global financial cycle. Such fluctuations in risk sentiment also correlate with the dynamics of UIP premia, capital flows, and exchange rates. To understand how these risk sentiment changes transmit across borders, we propose a two-country macroeconomic framework. Our model features cross-border holdings of risky assets by U.S. financial intermediaries who operate under financial frictions, and who act as global intermediaries in that they take on foreign asset risk. In this setup, an exogenous increase in U.S.-specific uncertainty, modeled as higher volatility in U.S. assets, leads to higher risk premia in both countries. This occurs because higher uncertainty leads to deleveraging pressure on U.S. intermediaries, triggering higher global risk premia and lower global asset values. Moreover, when U.S. uncertainty rises, the exchange rate in the foreign country vis-`a-vis the dollar depreciates, capital flows out of the foreign country, and the UIP premium increases in the foreign country and decreases in the U.S., as in the data.
主题	International Finance
关键词	Financial frictions Risk premia Time-varying uncertainty Intermediary asset pricing Financial spillovers Global financial cycle
URL	https://cepr.org/publications/dp17472
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/546565
推荐引用方式 GB/T 7714	Ozge Akinci Emekli,Sebnem Kalemli-Ozcan,Albert Queralto. DP17472 Uncertainty Shocks, Capital Flows, and International Risk Spillovers. 2022.