Foreign Safe Asset Demand and the Dollar Exchange Rate
成果类型：
Article
署名作者：
Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno
署名单位：
Northwestern University; Stanford University; National Bureau of Economic Research
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/jofi.13003
发表日期：
2021
页码：
1049-1089
关键词：
摘要：
We develop a theory that links the U.S. dollar's valuation in FX markets to the convenience yield that foreign investors derive from holding U.S. safe assets. We show that this convenience yield can be inferred from the Treasury basis, the yield gap between U.S. government and currency-hedged foreign government bonds. Consistent with the theory, a widening of the basis coincides with an immediate appreciation and a subsequent depreciation of the dollar. Our results lend empirical support to models that impute a special role to the United States as the world's provider of safe assets and the dollar as the world's reserve currency.