Dollar reserves and U.S. yields: Identifying the price impact of official flows

IF 3.8 1区经济学 Q1 ECONOMICS

Journal of International Economics Pub Date : 2024-07-24 DOI:10.1016/j.jinteco.2024.103974

Rashad Ahmed , Alessandro Rebucci

引用次数: 0

Abstract

By exploiting changes in the volatility of U.S. Treasury yields and foreign official (FO) flows into U.S. Treasuries after the 2008 Global Financial Crisis, we identify a FO flow shock via heteroskedasticity in a structural VAR. We estimate that a $100B FO flow shock moves 5 and 10-year U.S. yields by about 100 basis points within a month. An event study of the intraday U.S. Treasury yield curve response to Japan’s FX intervention in September 2022 validates our VAR estimates. Our findings imply that a 1% reduction in the Dollar share of China’s reserves could raise long-term U.S. yields by about 20 basis points.

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美元储备与美国收益率：确定官方资金流动对价格的影响

通过利用 2008 年全球金融危机后美国国债收益率和外国官方（FO）资金流入美国国债的波动性变化，我们通过结构性 VAR 中的异方差来识别 FO 流量冲击。我们估计，1000 亿美元的 FO 流量冲击会在一个月内使 5 年期和 10 年期美国收益率变动约 100 个基点。对 2022 年 9 月日本外汇干预的当日美国国债收益率曲线反应进行的事件研究验证了我们的 VAR 估计值。我们的研究结果表明，中国储备中的美元份额每减少 1%，美国长期收益率就会上升约 20 个基点。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Economics ECONOMICS-

CiteScore

5.80

自引率

6.10%

发文量

期刊介绍： The Journal of International Economics is intended to serve as the primary outlet for theoretical and empirical research in all areas of international economics. These include, but are not limited to the following: trade patterns, commercial policy; international institutions; exchange rates; open economy macroeconomics; international finance; international factor mobility. The Journal especially encourages the submission of articles which are empirical in nature, or deal with issues of open economy macroeconomics and international finance. Theoretical work submitted to the Journal should be original in its motivation or modelling structure. Empirical analysis should be based on a theoretical framework, and should be capable of replication.