Dominant currency debt

• 成果类型: Article
• 署名作者: Eren, Egemen; Malamud, Semyon
• 署名单位: Bank for International Settlements (BIS)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.06.023
• 发表日期: 2022
• 页码: 571-589
• 关键词: Dollar debt; Dominant currency; Exchange rates; inflation; monetary policy

摘要

We propose a debt view to explain the dominant international role of the dollar. Within a simple capital-structure model with debt-currency choice, we show that the dominant currency is the one that (1) depreciates in global downturns over horizons of typical debt maturity and (2) has the steepest nominal yield curve. Empirically, we show the dollar fits this description better than other major currencies. The debt view can explain dollar-debt issuance patterns over the past two decades. It also offers insights into the future of the dominance of the dollar in the aftermath of the COVID-19 crisis.(c) 2021 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license ( http://creativecommons.org/licenses/by-nc-nd/4.0/ )