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Capital Flows and the Making of Risky Currencies
Capital Flows and the Making of Risky Currencies
상세정보
- 자료유형
- 학위논문 서양
- 최종처리일시
- 20250211151103
- ISBN
- 9798382775166
- DDC
- 658
- 저자명
- Fu, Zhiyu.
- 서명/저자
- Capital Flows and the Making of Risky Currencies
- 발행사항
- [Sl] : The University of Chicago, 2024
- 발행사항
- Ann Arbor : ProQuest Dissertations & Theses, 2024
- 형태사항
- 142 p
- 주기사항
- Source: Dissertations Abstracts International, Volume: 85-12, Section: A.
- 주기사항
- Advisor: Kaplan, Greg;Koijen, Ralph.
- 학위논문주기
- Thesis (Ph.D.)--The University of Chicago, 2024.
- 초록/해제
- 요약A currency is considered risky if it depreciates during downturns. I show that currency risk is caused by foreign capital flows induced by heterogeneous responses of foreign and domestic investors to global shocks. I establish that foreign flows are "flighty": foreign investors withdraw capital in response to negative news. Empirically, currency risk appears to play a limited role at most in driving this flightiness. However, consistent with an explanation based on heterogeneous beliefs, I find that foreign forecasts react more strongly to news, and their returns are relatively lower. Motivated by these findings, I develop a model in which foreign investors update their beliefs more strongly to negative shocks, creating flighty foreign flows. In the model, the relative flightiness of a country's external liabilities and external assets determines its currency risk. That is, if foreign holdings of domestic assets respond more to global shocks than do domestic holdings of foreign assets, the country's currency is risky (and vice versa for safe currencies). Based on this, I construct a model-informed measure, "net asset flightiness"-the difference between external assets and liabilities weighted by their specific flightiness, which I show strongly correlates with currency risk.
- 일반주제명
- Finance
- 키워드
- Capital flows
- 키워드
- Currency risk
- 키워드
- Exchange rates
- 키워드
- Safe currencies
- 기타저자
- The University of Chicago Economics and Business
- 기본자료저록
- Dissertations Abstracts International. 85-12A.
- 전자적 위치 및 접속
- 로그인 후 원문을 볼 수 있습니다.
MARC
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■007cr#unu||||||||
■020 ▼a9798382775166
■035 ▼a(MiAaPQ)AAI31143179
■040 ▼aMiAaPQ▼cMiAaPQ
■0820 ▼a658
■1001 ▼aFu, Zhiyu.
■24510▼aCapital Flows and the Making of Risky Currencies
■260 ▼a[Sl]▼bThe University of Chicago▼c2024
■260 1▼aAnn Arbor▼bProQuest Dissertations & Theses▼c2024
■300 ▼a142 p
■500 ▼aSource: Dissertations Abstracts International, Volume: 85-12, Section: A.
■500 ▼aAdvisor: Kaplan, Greg;Koijen, Ralph.
■5021 ▼aThesis (Ph.D.)--The University of Chicago, 2024.
■520 ▼aA currency is considered risky if it depreciates during downturns. I show that currency risk is caused by foreign capital flows induced by heterogeneous responses of foreign and domestic investors to global shocks. I establish that foreign flows are "flighty": foreign investors withdraw capital in response to negative news. Empirically, currency risk appears to play a limited role at most in driving this flightiness. However, consistent with an explanation based on heterogeneous beliefs, I find that foreign forecasts react more strongly to news, and their returns are relatively lower. Motivated by these findings, I develop a model in which foreign investors update their beliefs more strongly to negative shocks, creating flighty foreign flows. In the model, the relative flightiness of a country's external liabilities and external assets determines its currency risk. That is, if foreign holdings of domestic assets respond more to global shocks than do domestic holdings of foreign assets, the country's currency is risky (and vice versa for safe currencies). Based on this, I construct a model-informed measure, "net asset flightiness"-the difference between external assets and liabilities weighted by their specific flightiness, which I show strongly correlates with currency risk.
■590 ▼aSchool code: 0330.
■650 4▼aFinance
■653 ▼aCapital flows
■653 ▼aCurrency risk
■653 ▼aExchange rates
■653 ▼aForeign forecasts
■653 ▼aSafe currencies
■690 ▼a0508
■690 ▼a0501
■71020▼aThe University of Chicago▼bEconomics and Business.
■7730 ▼tDissertations Abstracts International▼g85-12A.
■790 ▼a0330
■791 ▼aPh.D.
■792 ▼a2024
■793 ▼aEnglish
■85640▼uhttp://www.riss.kr/pdu/ddodLink.do?id=T17160701▼nKERIS▼z이 자료의 원문은 한국교육학술정보원에서 제공합니다.
