Dollar Asset Holdings and Hedging around the Globe

• 成果类型: Article; Early Access
• 署名作者: Du, Wenxin; Huber, Amy W.
• 署名单位: Harvard University; National Bureau of Economic Research; University of Pennsylvania
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag067
• 发表日期: 2026-08-07
• 关键词: F21; F31; G11; G15; G22; G23; Currency; FLOWS; RISK

摘要

We collect and analyze detailed filings from global institutional investors to estimate foreign investors' U.S. dollar (USD) security holdings and currency hedging. Over two decades, foreign USD holdings grew sixfold, while hedge ratios rose by 15 percentage points after the 2008-2009 crisis. Currency hedging across mutual funds, pensions, and insurance reached $2 trillion by 2019. Hedging demand varies across investors, currency areas, and banking systems. We show that expected FX returns, beyond variance minimization, drive currency exposure in portfolios. Finally, we demonstrate and quantify how aggregate hedging demand affects hedging costs in the presence of constrained intermediaries.