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来源类型Working Paper
规范类型报告
DOI10.3386/w30026
来源IDWorking Paper 30026
Uncertainty Shocks, Capital Flows, and International Risk Spillovers
Ozge Akinci; Ṣebnem Kalemli-Özcan; Albert Queralto
发表日期2022-05-09
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-à-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 Economics ; International Finance ; International Macroeconomics
URLhttps://www.nber.org/papers/w30026
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/587699
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Ozge Akinci,Ṣebnem Kalemli-Özcan,Albert Queralto. Uncertainty Shocks, Capital Flows, and International Risk Spillovers. 2022.
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