| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29457 |
| 来源ID | Working Paper 29457 |
| Scrambling for Dollars: International Liquidity, Banks and Exchange Rates | |
| Javier Bianchi; Saki Bigio; Charles Engel | |
| 发表日期 | 2021-11-08 |
| 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 Economics ; International Macroeconomics ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w29457 |
| 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/587131 |
| 推荐引用方式 GB/T 7714 | Javier Bianchi,Saki Bigio,Charles Engel. Scrambling for Dollars: International Liquidity, Banks and Exchange Rates. 2021. |
| 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 | ||
| w29457.pdf（884KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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