| 主讲人简介： | Dong Lou is a Professor of Finance at London School of Economics. He is the associate editor of Journal of Finance, Journal of Financial Economics, International Review of Finance, Management Science, Journal of Empirical Finance, and Financial Management, etc. His research has been published in leading journals, including RFS, JFE, MS, JME, etc. His research areas are asset pricing and capital market microstructure. |
| 讲座简介： | 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. |
