The Dollar, Bank Leverage, and Deviations from Covered Interest Parity

被引：109

作者：

Avdjiev, Stefan ^{[1
]}

Du, Wenxin ^{[2
,3
]}

Koch, Catherine ^{[1
]}

Shin, Hyun Song ^{[1
]}

机构：

[1] Bank Int Settlements, Cent Bahnpl 2, CH-4002 Basel, Switzerland

[2] Univ Chicago, Booth Sch Business, 5807 South Woodlawn Ave, Chicago, IL 60637 USA

[3] NBER, Cambridge, MA 02138 USA

来源：

AMERICAN ECONOMIC REVIEW-INSIGHTS | 2019年 / 1卷 / 02期

关键词：

D O I：

10.1257/aeri.20180322

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We document a triangular relationship in that a stronger dollar goes hand in hand with larger deviations from covered interest parity (CIP) and contractions of cross-border bank lending in dollars. We argue that underpinning the triangle is the role of the dollar as a key barometer of risk-taking capacity in global capital markets.

引用

页码：193 / 207

页数：15

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