主题：Foreign
Safe Asset Demand and the Dollar Exchange Rate（海外资产安全需求和美元的汇率）
主讲人：Arvind Krishnamurthy, 斯坦福大学商德州扑克大小
金融学John S. Osterweis讲席教授
日期：2018年6月13日（周三）
时间：上午10:00 - 11:30
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
We develop a
theory that links foreign investors' demand for the safety of U.S. Treasury
bonds to the value of the dollar in spot markets. An increase in the convenience
yield that foreign investors derive from holding U.S. Treasurys induces an
immediate appreciation of the US dollar and, going forward, lowers the expected
return to a foreign investor from owning Treasury bonds. Under our theory, we
show that the foreign convenience yield can be measured by the `Treasury
basis,' defined as the wedge between the yield on foreign government bonds and
the currency-hedged yield on U.S. Treasury bonds. We measure the convenience
yield using data from a cross-country panel going back to 1988 and the US/UK
cross going back to 1970. In both datasets, regression evidence strongly
supports the theory. Our results help to resolve the exchange rate disconnect puzzle:
the Treasury basis variation accounts for up to 41% of the quarterly variation
in the dollar. Our results also provide support for recent theories which
ascribe a special role to the U.S. as a provider of world safe assets.
主讲人简介:
Arvind Krishnamurthy is the John S. Osterweis Professor of Finance at
the Stanford Graduate School of Business and a research associate at the
National Bureau of Economic Research. Krishnamurthy’s research interests
include financial intermediation, debt markets, housing markets, financial
crises, monetary policy, and financial regulation. Krishnamurthy’s research on
financial crises and monetary policy has received national media coverage and
been cited by central banks around the world. He received his PhD from MIT and
his undergraduate degree from the University of Pennsylvania.
