Kekre, Rohan and Lenel, Moritz
The flight to safety and international risk sharing - The American Economic Review - 114(6), Jun, 2024: p. 1650-1691
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 United States 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 United States holds a levered portfolio of capital finances in dollars. We quantify the effects of safety shocks and heterogeneity in risk-bearing capacity for global macroeconomic volatility, US external adjustment, and policy transmission, as of dollar swap lines.- Reproduced
https://www.aeaweb.org/articles?id=10.1257/aer.20211319
Flight to Safety, International Monetary System, Safe Dollar Bonds, Risk-Bearing Capacity, Dollar Appreciation, Global Output Decline, Negative Risk Premium, Leveraged Capital Portfolio, Safety Shocks, Macroeconomic Volatility, US External Adjustment, Policy Transmission, Dollar Swap Lines
The flight to safety and international risk sharing - The American Economic Review - 114(6), Jun, 2024: p. 1650-1691
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 United States 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 United States holds a levered portfolio of capital finances in dollars. We quantify the effects of safety shocks and heterogeneity in risk-bearing capacity for global macroeconomic volatility, US external adjustment, and policy transmission, as of dollar swap lines.- Reproduced
https://www.aeaweb.org/articles?id=10.1257/aer.20211319
Flight to Safety, International Monetary System, Safe Dollar Bonds, Risk-Bearing Capacity, Dollar Appreciation, Global Output Decline, Negative Risk Premium, Leveraged Capital Portfolio, Safety Shocks, Macroeconomic Volatility, US External Adjustment, Policy Transmission, Dollar Swap Lines