자료유형 | 학위논문 |
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서명/저자사항 | Essays on Foreign Exchange Rates. |
개인저자 | Fang, Xiang. |
단체저자명 | University of Pennsylvania. Economics. |
발행사항 | [S.l.]: University of Pennsylvania., 2019. |
발행사항 | Ann Arbor: ProQuest Dissertations & Theses, 2019. |
형태사항 | 132 p. |
기본자료 저록 | Dissertations Abstracts International 81-04A. Dissertation Abstract International |
ISBN | 9781088341704 |
학위논문주기 | Thesis (Ph.D.)--University of Pennsylvania, 2019. |
일반주기 |
Source: Dissertations Abstracts International, Volume: 81-04, Section: A.
Advisor: Jermann, Urban |
이용제한사항 | This item must not be sold to any third party vendors. |
요약 | The foreign exchange rate is one of the most important asset prices in the international financial market. My dissertation studies the determination of exchange rates from the perspective of levered financial institutions and the frictions they are facing. It consists of two chapters that shed light on the importance of levered financial institutions in exchange rate determination.In Chapter 1, I propose an intermediary-based explanation of the risk premium of currency carry trade in a model with a cross-section of small open economies. In the model, bankers in each country lever up and hold interest-free cash as liquidity buffers against funding shocks. Countries set different nominal interest rates, while low interest rates encourage bankers to take high leverage. Consequently, bankers' wealth drops sharply with a negative shock. This reduces foreign asset demand and leads to a domestic appreciation, which in turn makes low-interest-rate currencies good hedges. The model implies covered interest rate parity deviations when safe assets differ in liquidity. The empirical evidence is consistent with the main model implications: (i) Low-interest-rate countries have high bank leverage and low currency returns |
일반주제명 | Economics. |
언어 | 영어 |
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: 이 자료의 원문은 한국교육학술정보원에서 제공합니다. |