| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14437 |
| DP14437 The Non-U.S. Bank Demand for U.S. Dollar Assets | |
| Tobias Adrian; Peichu Xie | |
| 发表日期 | 2020-02-23 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | The USD asset share of non-U.S. banks captures the relative demand for USD denominated assets by these investors. An instrumental variable strategy identifies a causal link from the USD asset share to the USD exchange rate. Furthermore, cross-sectional asset pricing tests show that the USD asset share is a highly significant pricing factor for carry trade strategies. The USD asset share also forecasts the movement of foreign currency against U.S. dollar with economically large magnitude, high statistical significance, and large explanatory power, both in sample and out of sample, pointing towards time varying risk premia. It takes 2-5 years for exchange rate risk premia to normalize in response to demand shocks. |
| 主题 | Financial Economics |
| 关键词 | Exchange rate disconnect Safe asset demand Intermediary asset pricing |
| URL | https://cepr.org/publications/dp14437-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543334 |
| 推荐引用方式 GB/T 7714 | Tobias Adrian,Peichu Xie. DP14437 The Non-U.S. Bank Demand for U.S. Dollar Assets. 2020. |
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