Offshore dollar funding shocks and the dollar exchange rate

• 成果类型: Article
• 署名作者: Bacchetta, Philippe; Davis, J. Scott; van Wincoop, Eric
• 署名单位: University of Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; Federal Reserve System - USA; Federal Reserve Bank - Dallas; University of Virginia; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2026.104308
• 发表日期: 2026
• 关键词: DEVIATIONS; liquidity; banking; flight

摘要

Deviations from covered interest rate parity (CIP) have persisted since the global financial crisis, reflecting a segmentation between onshore (US) and offshore dollar markets. This segmentation can give rise to dollar shortages in offshore markets during periods of financial stress. We propose a model with limited CIP and UIP arbitrage where the CIP deviation and exchange rate are jointly determined by equilibrium in the swap and spot FX markets. We consider offshore dollar funding shocks, where either the supply of dollar funding by the US to offshore markets declines or the demand for dollar funding in offshore markets rises. We show that this gives rise to dollar shortages, with a rise in the CIP deviation and appreciation of the dollar. In contrast to other models of exchange rate determination, the dollar appreciation is entirely due to imperfect CIP arbitrage.