主题：Dollar Safety and the Global Financial Cycle（美元安全与全球金融周期）

主讲人：蒋正阳，西北大学凯洛格商学院金融学助理教授

日期：2019年12月11日（周三）

时间：上午10:00-11:30

地点：清华五道口金融学院4号楼101教室

语言：英文

摘要:

U.S. monetary policy shocks have an outsized impact on the world economy, a phenomenon that is described by Rey’s (2013) “global financial cycle”. In contrast, shocks in foreign countries have smaller impacts on the U.S. We build a model to rationalize these facts based on the special demand for dollar safe assets. In the model, dollar safe assets trade at a premium: that is, they offer especially low returns. Banks and firms that have the collateral to issue dollar safe assets can collect this premium. U.S. institutions do so against dollar collateral, while foreign institutions do so against foreign currency collateral, taking on exchange rate risk in the process. U.S. monetary shocks impact the supply of dollar safe assets, affecting dollar safe assets’ premium and the dollar’s value. This impact transmits across the globe and generates a global risk factor. We present evidence from movements in the Treasury basis to support the mechanism underlying our theory.

主讲人简介:

Zhengyang Jiang is an Assistant Professor of Finance at Kellogg School of Management, Northwestern University. His research focuses on international finance and macroeconomics. His main line of inquiry is about the role of government in the provision of currencies and safe assets, and how this role affects exchange rates, risk premia, and economic outcomes. A related topic is how the financial sector intermediates the provision of currencies and safe assets, and how the monetary policy affects this intermediation. In the broader field, he also works on the asset pricing implications of the global production network.