Data and Code for: The Flight to Safety and International Risk Sharing
Principal Investigator(s): View help for Principal Investigator(s) Rohan Kekre, University of Chicago. Booth School of Business; Moritz Lenel, Princeton University
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| BEA | 04/05/2024 03:13:PM | ||
| BLS | 04/05/2024 03:13:PM | ||
| BarroLiao2020 | 04/05/2024 03:13:PM | ||
| CountryCode | 04/05/2024 03:13:PM | ||
| DuImSchreger2020 | 04/05/2024 03:23:PM | ||
| FRED | 04/05/2024 03:23:PM | ||
| Federal Reserve Board | 04/05/2024 03:23:PM | ||
| LaneMilesiFerretti2018 | 04/05/2024 03:23:PM | ||
| OECD | 04/05/2024 03:24:PM | ||
| TIC | 04/05/2024 03:24:PM |
Project Description
Summary:
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We study a business cycle model of the international monetary system featuring a time-varying demand for safe dollar bonds, greater risk-bearing capacity in the U.S. than the rest of the world, and nominal rigidities. A flight to safety generates a dollar appreciation and decline in global output. Dollar bonds thus command a negative risk premium and the U.S. holds a levered portfolio of capital financed in dollars. We quantify the effects of safety shocks and heterogeneity in risk-bearing capacity for global macroeconomic volatility; U.S. external adjustment; and policy transmission, as of dollar swap lines.
Scope of Project
Subject Terms:
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international monetary system;
risk premia;
convenience yields
JEL Classification:
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E44 Financial Markets and the Macroeconomy
F44 International Business Cycles
G15 International Financial Markets
E44 Financial Markets and the Macroeconomy
F44 International Business Cycles
G15 International Financial Markets
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