美联储-全球安全飞行、商业周期和美元（英）-2023.10-70页_1mb

• Title: Global Flight to Safety, Business Cycles, and the Dollar
• Authors: Martin Bodenstein, Pablo Cuba Borda, Nils Gornemann, Ignacio Presno, Andrea Prestipino, Albert Queralto, and Andrea Raffo
• Year: 2023
• Institution: Board of Governors of the Federal Reserve System

Key Findings

1. Global Flight-to-Safety (GFS) Shocks:

   • GFS shocks are the primary drivers of global GDP fluctuations, explaining nearly 40% of the variation in world GDP growth.
   • These shocks simultaneously depress U.S. and foreign GDP, lower inflation, and widen corporate credit spreads.
   • The dollar appreciates during GFS shocks, reflecting its role as a safe haven asset.

2. Role of Dollar Assets:

   • GFS shocks are biased toward dollar-denominated safe assets, supporting the U.S. dollar's dominance in global safe asset markets.
   • This bias quantifies the dollar's role in international risk sharing and capital flows.

3. Monetary Policy:

   • Contrary to some literature, U.S. monetary shocks do not significantly drive foreign economic activity or global co-movement, which is primarily driven by GFS shocks.
   • Adverse GFS shocks are associated with lower interest rates in the U.S. and abroad, not higher rates.

4. VAR Evidence:

   • A structural VAR using the excess bond premium (EBP) as a proxy for GFS shocks aligns closely with the model's impulse response functions.
   • GFS shocks lead to persistent contractions in economic activity and appreciations of the dollar, validating their impact across global economies.

Methodology

• A two-country DSGE model is estimated using Bayesian methods to account for time-variation in agents' preferences for safe bonds.
• The model incorporates global risk premium shocks, financial frictions, and uncovered interest rate parity (UIP) deviations to analyze the transmission of GFS shocks.

Implications

• GFS shocks highlight the importance of global factors in driving business cycles, challenging the view that domestic policies are the primary drivers.
• The dollar's role as a safe haven underscores its influence on global exchange rates and capital flows during periods of global risk aversion.

For detailed technical details, refer to the full paper.