| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24439 |
| 来源ID | Working Paper 24439 |
| Foreign Safe Asset Demand and the Dollar Exchange Rate | |
| Zhengyang Jiang; Arvind Krishnamurthy; Hanno Lustig | |
| 发表日期 | 2018-03-26 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We develop a theory that links the U.S. dollar’s valuation in FX markets to the convenience yield that foreign investors derive from holding U.S. safe assets. We show that this convenience yield can be inferred from the Treasury basis: the yield gap between U.S. government and currency-hedged foreign government bonds. Consistent with the theory, a widening of the basis coincides with an immediate appreciation and a subsequent depreciation of the dollar. Our results lend empirical support to models which impute a special role to the U.S. as the world’s provider of safe assets and the dollar, the world’s reserve currency. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w24439 |
| 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/582112 |
| 推荐引用方式 GB/T 7714 | Zhengyang Jiang,Arvind Krishnamurthy,Hanno Lustig. Foreign Safe Asset Demand and the Dollar Exchange Rate. 2018. |
| 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 | ||
| w24439.pdf（898KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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