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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w17359 |
来源ID | Working Paper 17359 |
Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis | |
Andrew K. Rose; Mark M. Spiegel | |
发表日期 | 2011-08-25 |
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 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Financial Markets ; Development and Growth |
URL | https://www.nber.org/papers/w17359 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575033 |
推荐引用方式 GB/T 7714 | Andrew K. Rose,Mark M. Spiegel. Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis. 2011. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w17359.pdf(846KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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