Understanding the strength of the dollar

• 成果类型: Article
• 署名作者: Jiang, Zhengyang; Richmond, Robert J.; Zhang, Tony
• 署名单位: Northwestern University; National Bureau of Economic Research; New York University; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104052
• 发表日期: 2025
• 关键词: Dollar; Exchange rate; capital flows; Asset demand system

摘要

We attribute variation in the strength of the U.S. dollar and its covariance with other currencies to economic primitives using a global asset demand system. We take global investor savings, asset supply, and monetary policy as exogenous primitives, and show how these variables explain dollar exchange rate behavior. Prior to the global financial crisis, global savings and demand shifts explain dollar depreciation, whereas post-crisis they explain dollar appreciation. Interest rates and cross-border bank loans explain short-term fluctuations in the dollar, but decline in significance over longer horizons. When explaining the dollar factor structure, we find that global savings explain common variations across dollar exchange rates, whereas investor demand shifts account for cross-sectional heterogeneity in dollar betas.