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国际经济学workshop: Foreign Exchange Intervention with UIP and CIP Deviations: The Case of Small Safe Haven Economies
发布日期：2024-06-11 12:00 来源：
主讲人：Kenza Benhima（University of Lausanne, CEPR）
主持人：余昌华（北京大学国家发展研究院）
时间：2024年6月11日（周二）下午15:00-16:30（北京时间）
地点：线上会议
Zoom会议号：926 3889 7210
密码：908060
摘要：
We examine the welfare-based opportunity cost of foreign exchange (FX) intervention when both CIP and UIP deviations are present. We consider a small open economy that receives international capital flows through constrained international financial intermediaries. Deviations from CIP come from limited arbitrage or through a convenience yield, while UIP deviations are also affected by risk. We show that the sign of CIP and UIP deviations may differ for safe haven countries. We find that there may be a benefit, rather than a cost, of FX reserves if international intermediaries value the safe haven properties of a currency more than domestic households. We show that this has been the case for the Swiss franc and the Japanese Yen. We examine the optimal policy of a constrained central bank planner in this context.
主讲人介绍：
Kenza Benhima is Professor of Macroeconomics at the University of Lausanne and a CEPR research affiliate. She holds a PhD in Economics from the University of Paris X and she was a Research Fellow at CREST-INSEE (Paris). Her research interests include financial macroeconomics, international finance and monetary economics. Her publications appear in Journal of International Economics, Journal of Monetary Economics, The Economic Journal and American Economic Journal: Macroeconomics.
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国际经济学workshop: Foreign Exchange Intervention with UIP and CIP Deviations: The Case of Small Safe Haven Economies
发布日期：2024-06-11 12:00 来源：
主讲人：Kenza Benhima（University of Lausanne, CEPR）
主持人：余昌华（北京大学国家发展研究院）
时间：2024年6月11日（周二）下午15:00-16:30（北京时间）
地点：线上会议
Zoom会议号：926 3889 7210
密码：908060
摘要：
We examine the welfare-based opportunity cost of foreign exchange (FX) intervention when both CIP and UIP deviations are present. We consider a small open economy that receives international capital flows through constrained international financial intermediaries. Deviations from CIP come from limited arbitrage or through a convenience yield, while UIP deviations are also affected by risk. We show that the sign of CIP and UIP deviations may differ for safe haven countries. We find that there may be a benefit, rather than a cost, of FX reserves if international intermediaries value the safe haven properties of a currency more than domestic households. We show that this has been the case for the Swiss franc and the Japanese Yen. We examine the optimal policy of a constrained central bank planner in this context.
主讲人介绍：
Kenza Benhima is Professor of Macroeconomics at the University of Lausanne and a CEPR research affiliate. She holds a PhD in Economics from the University of Paris X and she was a Research Fellow at CREST-INSEE (Paris). Her research interests include financial macroeconomics, international finance and monetary economics. Her publications appear in Journal of International Economics, Journal of Monetary Economics, The Economic Journal and American Economic Journal: Macroeconomics.
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