Monetary policy transmission through the exchange rate factor structure

• 成果类型: Article
• 署名作者: Loualiche, Erik; Pecora, Alexandre R.; Somogyi, Fabricius; Ward, Colin
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; Virginia Polytechnic Institute & State University; Northeastern University; University of Alberta
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104305
• 发表日期: 2026-08
• 页码: 104305
• 关键词: Currency flows; Exchange rate factor structure; monetary policy; US dollar; LIQUIDITY SHOCKS EVIDENCE; Currency risk; federal-reserve; term structure; channel; INFORMATION; MARKETS; premia; returns; credit

摘要

We show that US monetary policy is transmitted internationally through the factor structure of exchange rates. Following an easing of monetary policy, investment funds sell safe and buy risky currencies. Global US banks, similarly, tilt their distribution of foreign loan origination toward currencies with greater systematic currency risk. The effects of monetary policy on currency flows and loans persist for several months and feed into the leverage and real investment decisions of firms and, in particular, those that operate using a high-risk currency. We conclude that the risk factor exposure of currencies is a significant channel through which we can understand the international transmission of US monetary policy.