Foreign Safe Asset Demand and the Dollar Exchange Rate

Zhengyang Jiang, Arvind Krishnamurthy, Hanno Lustig

NBER Working Paper No. 24439
Issued in March 2018, Revised in September 2020

---- Acknowledgments ----

We thank Chloe Peng and Ziqing Wang for excellent research assistance. We also thank Mark Aguiar, Mike Chernov, Magnus Dahlquist, Wenxin Du (discussant), Greg Duffee, Charles Engel, Emmanuel Farhi, Maury Obstfeld (discussant), Pierre-Olivier Gourinchas (discussant), Ben Hébert, Zhiguo He (discussant), Oleg Itskhoki, Matteo Maggiori, Brent Neiman, Alexi Savov, Jesse Schreger (discussant), Lukas Schmid (discussant), Dongho Song (discussant), Jeremy Stein, Adrien Verdelhan and Stanley Zin for helpful discussions, and seminar participants at the BIS, Carnegie Mellon, Chicago Booth, Columbia, Harvard Business School, Northwestern Kellogg, New York Fed, NYU, Ohio State, San Francisco Fed, Stanford, UT-Austin and UC-Boulder as well as the participants at CESifo Area Conference, the NBER SI IFM 2018, Vienna Symposium on Foreign Exchange Markets, the NBER Fall AP 2018, the 2019 inaugural David Backus conference on macro-finance, the 2019 Toulouse/CBL conference, and the 2019 AEA for their comments. We have read the Journal of Finance disclosure policy and have no conflicts of interest to disclose. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

return to bibliography page