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The Flight to Safety and International Risk Sharing / Rohan Kekre, Moritz Lenel.
- Format:
- Book
- Author/Creator:
- Kekre, Rohan.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w29238.
- NBER working paper series no. w29238
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2021.
- Summary:
- We study a business cycle model of the international monetary system featuring a time-varying demand for safe dollar bonds, greater risk-bearing capacity in the U.S. than the rest of the world, and nominal rigidities. A flight to safety generates a dollar appreciation and decline in global output. Dollar bonds thus command a negative risk premium and the U.S. holds a levered portfolio of capital financed in dollars. We quantify the effects of safety shocks and heterogeneity in risk-bearing capacity for global macroeconomic volatility; U.S. external adjustment; and policy transmission, as of dollar swap lines.
- Notes:
- Print version record
- September 2021.
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