【主讲人】王天宇 副教授
【主持人】高明 长聘副教授
【报告题目】Unintended Consequences of Holding Dollar Assets

【报告摘要】We examine a novel mechanism through which the US dollar’s global dominance can have a large, unexpected impact on foreign safe-asset yields during crisis periods. Non-US institutions hold an increasing amount of dollar assets in recent years and hedge their dollar exposures by shorting dollars forward. In crisis periods, dollars appreciate against most other currencies. To meet margin calls on their FX hedging positions, non-US institutions sell domestic safe assets, thereby contributing to yield spikes in domestic markets. Consistent with this mechanism, we show that during the recent COVID crisis, UK-based insurance companies and pension funds with substantial dollar holdings and FX hedging positions sold large amounts of gilts, and were partly responsible for the gilt yield spike in March 2020.

【主讲人介绍】清华大学经济管理学院金融系副教授，主要研究领域为资产定价、金融中介和国际金融等。研究成果发表于Journal of Finance、Journal of Financial Economics、Review of Financial Studies等国际顶级期刊，并获得中国国际金融年会最佳论文奖等多个学术奖项。主持过包含国家自然科学基金项目在内的多个科研项目。