| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26046 |
| 来源ID | Working Paper 26046 |
| Exchange Rate Reconnect | |
| Andrew Lilley; Matteo Maggiori; Brent Neiman; Jesse Schreger | |
| 发表日期 | 2019-07-08 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | It is surprisingly difficult to find economic variables that strongly co-move with exchange rates, a phenomenon codified in a large literature on “exchange rate disconnect.” We demonstrate that a variety of common proxies for global risk appetite, which did not co-move with exchange rates prior to 2007, have provided significant in-sample explanatory power for currencies since then. Furthermore, during the global financial crisis and its aftermath, U.S. purchases of foreign bonds were highly correlated with these risk measures as well as with exchange rates. Changes in this type of capital flow statistically explain as much as half of the quarterly variation in the US dollar during 2007-2012. We use security-level data on U.S. portfolios to demonstrate that this connection 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 | Macroeconomics ; Money and Interest Rates ; International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w26046 |
| 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/583719 |
| 推荐引用方式 GB/T 7714 | Andrew Lilley,Matteo Maggiori,Brent Neiman,et al. Exchange Rate Reconnect. 2019. |
| 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 | ||
| w26046.pdf（669KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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