Scrambling for Dollars: International Liquidity, Banks and Exchange Rates

主讲人：Saki Bigio（UCLA）

主持人：余昌华（北京大学国家发展研究院）

时间：2023年2月21日（周二）上午10:30-12:00（北京时间）

地点：承泽园246教室

Zoom会议号：926 3889 7210

密码：908060

摘要：

We develop a theory of exchange rate fluctuations arising from financial institutions’ demand for dollar liquid assets. Financial flows are unpredictable and may leave banks “scrambling for dollars.” Because of settlement frictions in interbank markets, a precautionary demand for dollar reserves emerges and gives rise to an endogenous convenience yield on the dollar. We show that an increase in the dollar funding risk leads to a rise in the convenience yield and an appreciation of the dollar, as banks scramble for dollars. We present empirical evidence on the relationship between exchange rate fluctuations for the G10 currencies and the quantity of dollar liquidity, which is consistent with the theory.

主讲人介绍：

Saki Bigio is an Associate Professor at the Department of Economics of UCLA. His work is focused on the theoretical and quantitative nexus between financial-market liquidity, credit, payment systems and the macroeconomy. Prior to UCLA, he was an Assistant Professor at Columbia Business School Bigio has held Visiting Scholar positions at Princeton University and the Federal Reserve Bank of San Francisco. His papers appear in Econometrica, The Quarterly Journal of Economics, American Economic Review, and other leading journals.