Liquidity, Exchange Rates and Policy

该项目由三项研究组成，调查流动和安全资产在确定汇率--一国货币相对于其他货币的价值--中的作用。由财政政策稳健的国家政府发行的债券通常被投资者视为安全投资，因为这些债券违约的可能性较低，价格风险相对较小，并反映了政府的高透明度。由于这些债券是安全的，它们也很容易交易--它们具有流动性。与私人发行的债券相比，投资者愿意从政府债券中赚取更低的回报率，因为它们是安全的。市场债券利率与政府债券利率之间的差额可称为“便利收益率”。这项研究着眼于便利收益率和汇率之间的联系；考察了便利收益率如何影响国际联系，以及这种联系如何影响汇率；并评估了美国国债资产的特殊作用，这些资产因其安全性而在全球范围内得到估值。第一个项目建立了一个新凯恩斯模型，然后激励了一个汇率经验模型，该模型用于调查主要经济体的汇率。该模型使用传统的基本面来解释汇率：利率，以及与购买力平价的偏差的误差修正术语。创新之处在于考察短期政府债券的流动性收益率所起的作用，该收益率是通过存款收益率与政府利率之差来衡量的。第二个项目研究安全和流动性强的政府债券的供应如何影响汇率的动态，以及它如何在更丰富的新凯恩斯主义两国模型的背景下解决文献中提出的一些汇率难题。第三个项目涉及对金融机构的约束的作用，以及它们如何影响到外汇汇率的决定。随着世界各地的银行获得以美元计价的大量短期资金，美国短期国债不仅支付利息，还为银行提供流动性。在该模型中，银行对流动资产进行估值，以满足短期的意外融资需求。该项目实证证明，在银行特别需要流动性的时候，美国国债短期资产的流动性收益率高，美元坚挺。该奖项反映了NSF的法定使命，并通过使用基金会的智力优势和更广泛的影响审查标准进行评估，被认为值得支持。

AbstractThe project consists of three studies that investigate the role of liquid and safe assets in the determination of foreign exchange rates - the value of a country's currency in terms of other currencies. Bonds issued by national governments with sound fiscal policies are generally considered by investors to be safe investments because these bonds have a low chance of default, relatively little price risk, and reflect high transparency about the government. Because these bonds are safe, they are also easily traded - they are liquid. Investors are willing to earn a lower rate of return on government bonds relative to privately issued bonds because they are safe. The difference between the market bond rate and the government bond rate can be referred as "convenience yield". This research looks at the link between convenience yields and exchange rates; examines how international linkages are influenced by the convenience yield and how this affects exchange rates; and appraises the special role of U.S. Treasury assets, which are valued globally for their safety.The first project builds a New Keynesian model that then motivates an empirical model for exchange rates, which is used to investigate exchange rates in major economies. The model uses traditional fundamentals to explain exchange rates: interest rates, and an error correction term for deviations from purchasing power parity. The innovation is to examine the role of the liquidity yield on short-term government bonds, as measured by the difference between the rate of returns on deposits and the government rate. The second project studies how the supply of safe and liquid government bonds influences the dynamics of exchange rates, and how it addresses a number of exchange rate puzzles raised in the literature, in the context of a richer New Keynesian two-country model. The third project concerns the role of constraints on financial institutions, and how they propagate into the determination of foreign exchange rates. As banks all over the world receive substantial short-term funding denominated in U.S. dollars, U.S. short-term Treasuries not only pay interest but provide liquidity to banks. In the model, banks value liquid assets to meet short-term unexpected funding needs. This project documents empirically that during times of particular need for liquidity by banks, the liquidity yield on U.S. Treasury short-term assets is high, and the U.S. dollar is strong.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.