We develop a model of the global financial cycle with one key ingredient: the international
demand for safe dollar assets. The model matches patterns of dollar borrowing and currency …

We find strong empirical evidence that the liquidity yield on government bonds in
combination with standard economic fundamentals can well account for nominal exchange …

We use a portfolio‐based framework to understand what drives the decline of the US net
foreign asset (NFA) position and the reversal in returns earned on the US NFA (exorbitant …

When investors trade home and foreign currency risk-free bonds without any frictions, it is
not possible to match the cyclicality of exchange rates (the Backus-Smith puzzle), the …

The recent COVID-19 pandemic has influenced our society in various ways. In particular,
changes in business environments induced by border closures, lock-down policies, social …

I develop a model of real exchange rate determination that attributes a central role to the
intertemporal government budget condition, which equates the market value of government …

The slope carry takes a long (short) position in the long-term bonds of countries with steeper
(flatter) yield curves. The traditional carry takes a long (short) position in countries with high …

We develop a novel measure of volatility pass-through to assess international propagation
of output volatility shocks to macroeconomic aggregates, equity prices, and currencies. An …

The co-movement of the RMB exchange rate with other currencies highlights the global
standing of the RMB and its significance in FX markets. This paper employs the rational …

Exchange rate volatility falls after a trade deal, driven by a decline in the systematic
component of risk. The average trade deal increases trade by 50 percent over five years …