【Macro Seminar】A Risk-Based Liquidity Theory of International Currency
2025/05/06
研討會日期 : 2025-05-06
時間 : 14:30
主講人 : Professor Kenji Wada (和田健司)
地點 : Conference Room B110
主持人 : Professor Terry Cheung
演講者簡介 : Professor Kenji Wada received his Ph.D. in Economics from New York University in 2024. He is currently an Assistant Professor at National Taiwan University. His research interests are Macroeconomics, Asset Pricing, and International Finance.
演講摘要 : This paper develops a risk-based liquidity theory of international currency, grounded in the endogenous ranking of currencies as media of exchange. These rankings emerge from their asymmetric hedging properties against counterparties' future income shocks within an open-economy search model featuring multiple currencies. The model rationalizes various currency payment patterns as equilibrium outcomes, including single currency dominance and the coexistence of multiple currencies. Empirical evidence supports the model's prediction that the share of the dollar in international trade settlements and currency holdings is more prevalent in countries with more procyclical valuations of local currencies against the US dollar. The calibrated three-region model successfully replicates the observed dominance of the US dollar in the U.S. and Latin American regions due to its superior hedging properties against adverse income shocks, alongside the local adoption of the euro in the Eurozone. Furthermore, the model underscores the significant welfare costs of de-dollarization policies, which result from the deterioration of terms of trade caused by the exclusion of optimal foreign currency payment arrangements, particularly as risk aversion increases.
