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
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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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