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We develop a general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents for providing access to foreign claims. The behavior of intermediaries, by tilting state prices, breaks monetary neutrality...
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We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...
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-financial-crisis regulatory environment. Global banks mainly use such funding to finance liquid, near risk-free arbitrage positions--in particular …, the interest on excess reserves arbitrage and the covered interest rate parity arbitrage. In this environment, we examine … global banks to the reform was a cutback in arbitrage positions that relied on unsecured funding, rather than a reduction in …
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