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国际经济学workshop: Dollar Shortages, CIP Deviations, and the Safe Haven Role of the Dollar
发布日期：2024-04-16 12:00 来源：
主讲人：Philippe Bacchetta（University of Lausanne, Swiss Finance Institute, and CEPR）
主持人：余昌华（北京大学国家发展研究院）
时间：2024年4月16日（周二）下午3:00-4:30（北京时间）
地点：线上会议
Zoom会议号：926 3889 7210
密码：908060
摘要：
Since 2007, an increase in risk or risk aversion has resulted in a US dollar appreciation and greater deviations from covered interest parity (CIP). In contrast, prior to 2007, risk had no impact on the dollar, and CIP held. To explain these phenomena, we develop a two-country model featuring (i) market segmentation, (ii) limited CIP arbitrage (since 2007), (iii) global dollar dominance. During periods of heightened global financial stress, dollar shortages in the offshore market emerge, leading to increased CIP deviations and a dollar appreciation. The appreciation occurs even in the absence of global dollar demand shocks. Central bank swap lines mitigate these effects.
主讲人介绍：
Philippe Bacchetta is Swiss Finance Institute professor of macroeconomics at the University of Lausanne.
He received his Ph.D. and M.A. in economics from Harvard University and his B.A. and M.S. in economics from the University of Lausanne. From 1998 to 2007, Philippe Bacchetta was director of the Study Center Gerzensee, a foundation of the Swiss National Bank. He is a fellow of the European Economic Association and has been Program Director of the International Macroeconomics and Finance program of the Centre for Economic Policy Research (CEPR, London), president of the Swiss Society of Economics and Statistics, and a member of the Swiss National Research Council. In 2011 he was awarded an Advanced Researcher Grant by the European Research Council. His research interests include open economy macroeconomics, international finance, financial crises, and monetary economics.
His research has been published in the Review of Economic Studies, American Economic Review, Review of Financial Studies, Journal of International Economics, Journal of Monetary Economics and Journal of the European Economic Association.
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首页
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国际经济学workshop: Dollar Shortages, CIP Deviations, and the Safe Haven Role of the Dollar
发布日期：2024-04-16 12:00 来源：
主讲人：Philippe Bacchetta（University of Lausanne, Swiss Finance Institute, and CEPR）
主持人：余昌华（北京大学国家发展研究院）
时间：2024年4月16日（周二）下午3:00-4:30（北京时间）
地点：线上会议
Zoom会议号：926 3889 7210
密码：908060
摘要：
Since 2007, an increase in risk or risk aversion has resulted in a US dollar appreciation and greater deviations from covered interest parity (CIP). In contrast, prior to 2007, risk had no impact on the dollar, and CIP held. To explain these phenomena, we develop a two-country model featuring (i) market segmentation, (ii) limited CIP arbitrage (since 2007), (iii) global dollar dominance. During periods of heightened global financial stress, dollar shortages in the offshore market emerge, leading to increased CIP deviations and a dollar appreciation. The appreciation occurs even in the absence of global dollar demand shocks. Central bank swap lines mitigate these effects.
主讲人介绍：
Philippe Bacchetta is Swiss Finance Institute professor of macroeconomics at the University of Lausanne.
He received his Ph.D. and M.A. in economics from Harvard University and his B.A. and M.S. in economics from the University of Lausanne. From 1998 to 2007, Philippe Bacchetta was director of the Study Center Gerzensee, a foundation of the Swiss National Bank. He is a fellow of the European Economic Association and has been Program Director of the International Macroeconomics and Finance program of the Centre for Economic Policy Research (CEPR, London), president of the Swiss Society of Economics and Statistics, and a member of the Swiss National Research Council. In 2011 he was awarded an Advanced Researcher Grant by the European Research Council. His research interests include open economy macroeconomics, international finance, financial crises, and monetary economics.
His research has been published in the Review of Economic Studies, American Economic Review, Review of Financial Studies, Journal of International Economics, Journal of Monetary Economics and Journal of the European Economic Association.
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