The Flight to Safety and International Risk Sharing

被引:7
作者
Kekre, Rohan [1 ,2 ]
Lenel, Moritz [2 ,3 ]
机构
[1] Chicago Booth, Chicago, IL 60637 USA
[2] NBER, Cambridge, MA 02138 USA
[3] Princeton Univ, Princeton, NJ USA
基金
美国国家科学基金会;
关键词
EXCHANGE-RATES; MONETARY-POLICY; BUSINESS CYCLES; MODEL; LIQUIDITY; SHOCKS; CONSUMPTION; PREMIUM; PRICES; MONEY;
D O I
10.1257/aer.20211319
中图分类号
F [经济];
学科分类号
02 ;
摘要
We study a business cycle model of the international monetary system featuring a time -varying demand for safe dollar bonds , greater risk -bearing capacity in the United States than the rest of the world , and nominal rigidities. A flight to safety generates a dollar appreciation and decline in global output. Dollar bonds thus command a negative risk premium, and the United States holds a levered portfolio of capital financed in dollars. We quantify the effects of safety shocks and heterogeneity in risk -bearing capacity for global macroeconomic volatility, US external adjustment, and policy transmission , as of dollar swap lines.
引用
收藏
页码:1650 / 1691
页数:42
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