2023-10-20-美联储-全球安全飞行_商业周期和美元_70页_1mb

报告摘要

Summary

The paper develops a two-country macroeconomic model featuring time-varying preferences for safe bonds, calibrated to capture a "global flight to safety" (GFS) shock that is biased toward dollar-denominated assets. Key findings include:

Dominance of GFS Shocks:
GFS shocks are the primary driver of global business cycles, explaining nearly 40% of fluctuations in world GDP growth. In the U.S., they account for 15-20% of GDP variation, while in the rest of the world, they explain a third of fluctuations.
Effects of GFS Shocks:
- Adverse GFS shocks reduce global GDP, inflation, widen credit spreads, and appreciate the U.S. dollar.
- A typical GFS shock lowers both U.S. and foreign GDP by about 0.25% at the trough (confidence interval [0.1%, 0.4%]).
- The shock disproportionately affects foreign credit spreads and foreign GDP composition (depresses consumption and investment more than investment).
Rejection of Country-Specific Shocks:
U.S.-specific risk premium and monetary shocks contribute little to international co-movement, challenging the view that domestic factors dominate global economics.
Dollar Dynamics:
GFS shocks play a decisive role in exchange rate movements, particularly during periods of global stress (e.g., the 2008 crisis and 2014-2016 dollar rally). The shock boosts dollar demand, aligning with empirical evidence from a structural VAR.
Policy Implications:
The findings underscore the importance of global risk factors in business cycles and the role of dollar assets as a safe haven, with significant implications for monetary coordination and policy design.