演講者簡介 : Professor Michael Devereux received his Ph.D. in Economics from Queen’s University in 1985. He is currently a Professor at The University of British Columbia. His research interests are International Macroeconomics and International Finance.
演講摘要 : This paper explores the effect of global shocks in a two-country New Keynesian model in which US government debt has an advantage as a superior collateral asset in the balance sheets of banks. We show that the model can account for the observed response of the US dollar and US bond returns to a global downturn. Our model predicts that the U.S. enjoys an "exorbitant privilege" as its government bonds are desired by banks both in the U.S. and abroad as superior collateral. In times of global stress, the dollar appreciates and the "convenience yield" earned by U.S. government bonds increases. There is "retrenchment" -- each country reduces its holdings of foreign assets a critical determinant of which is the endogenous response of prices and returns. In addition, the model displays a U.S. real exchange rate appreciation despite that domestic absorption in the US falls relative to the rest of the world during a global downturn, thus addressing the "reserve currency paradox" highlighted by Maggiori (2017).
