The Flight to Safety and International Risk Sharing

• 成果类型: Article
• 署名作者: Kekre, Rohan; Lenel, Moritz
• 署名单位: National Bureau of Economic Research; Princeton University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20211319
• 发表日期: 2024
• 页码: 1650-1691
• 关键词: exchange-rates; monetary-policy; business cycles; MODEL; liquidity; shocks; consumption; premium; prices; money

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.