北大经院工作坊第827场
capital flows and the making of risky currencies（资本流动与风险货币的形成）
（宏观经济学工作坊）
主讲人：fu zhiyu (phd candidate at the university of chicago)
主持老师：（北大经院）李博
参与老师：
（北大国发院）赵波、余昌华、李明浩
（北大经院）陈仪、韩晗、李伦
时间：2024年3月15日（周五）10:00-11:30
地点：北京大学国家发展研究院承泽园131教室
主讲人简介：
fu zhiyu a phd candidate in the joint program of financial economics at the university of chicago. his primary research interests are asset pricing and international macro finance.
摘要：
a currency is considered risky if it depreciates during downturns. i show that currency risk is caused by foreign capital flows induced by heterogeneous responses of foreign and domestic investors to global shocks. i establish that foreign flows are “flighty”: foreign investors withdraw capital in response to negative news. empirically, currency risk appears to play a limited role at most in driving this flightiness. however, consistent with an explanation based on heterogeneous beliefs, i find that foreign forecasts react more strongly to news, and their returns are relatively lower. motivated by these findings, i develop a model in which foreign investors update their beliefs more strongly to negative shocks, creating flighty foreign flows. in the model, the relative flightiness of a country’s external liabilities and external assets determines its currency risk. that is, if foreign holdings of domestic assets respond more to global shocks than do domestic holdings of foreign assets, the country’s currency is risky (and vice versa for safe currencies). based on this, i construct a model-informed measure, “net asset flightiness”—the difference between external assets and liabilities weighted by their specific flightiness, which i show strongly correlates with currency risk.
供稿单位：科研与博士后办公室
供稿人：丁堃