美联储-全球安全飞行、商业周期和美元（英）-2023.10-70页.pdf
BoardofGovernorsoftheFederalReserveSystemInternationalFinanceDiscussionPapersISSN1073-2500(Print)ISSN2767-4509(Online)Number1381October2023GlobalFlighttoSafety,BusinessCycles,andtheDollarMartinBodenstein,PabloCubaBorda,NilsGornemann,IgnacioPresno,AndreaPrestipino,AlbertQueralto,andAndreaRa oPleasecitethispaperas:Bodenstein,Martin,PabloCubaBorda,NilsGornemann,IgnacioPresno,AndreaPrestipino,AlbertQueralto,andAndreaRa o(2023).\GlobalFlighttoSafety,BusinessCycles,andtheDollar,;InternationalFinanceDiscussionPapers1381.Washington:BoardofGovernorsoftheFederalReserveSystem,https://doi.org/10.17016/IFDP.2023.1381.NOTE:InternationalFinanceDiscussionPapers(IFDPs)arepreliminarymaterialscirculatedtostimu-latediscussionandcriticalcomment.Theanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchsta ortheBoardofGovernors.ReferencesinpublicationstotheInternationalFinanceDiscussionPapersSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthesepapers.RecentIFDPsareavailableontheWebatwww.federalreserve.gov/pubs/ifdp/.ThispapercanbedownloadedwithoutchargefromtheSocialScienceResearchNetworkelectroniclibraryatwww.ssrn.com.GlobalFlighttoSafety,BusinessCycles,andtheDollar∗MartinBodenstein,PabloCubaBorda,NilsGornemann,IgnacioPresno,AndreaPrestipino,AlbertQueralto,andAndreaRaffoSeptember29,2023AbstractWedevelopatwo-countrymacroeconomicmodelthatwefittoasetofaggregatepricesandquantitiesfortheU.S.andtherestoftheworld.Inadditiontoastandardarrayofshocks,themodelincludestimevariationinagents’preferenceforsafebonds.Weallowforacomponentofthistimevariationtobecommonacrosscountriesandbiasedtowarddollar-denominatedsafeassets,andrefertothiscomponentasglobalflighttosafety(GFS).WefindthatGFSshocksarethemostimportantshocksdrivingworldbusinesscycles,andarealsoimportantdriversofactivityintheU.S.andespeciallyabroad.AnadverseGFSshocklowersglobalGDPandinflation,widensglobalcorporatecreditspreads,andappreciatesthedollar.TheseeffectsareveryclosetothoseobtainedfromastructuralVARwhichusestheexcessbondpremium(GilchristandZakrajˇsek,2012)asproxyforglobalflighttosafety.JELclassification:E32,F30,H22Keywords:Econometricsandeconomictheory;Internationaleconomics;Macroeconomicactivity.∗Bodenstein:FederalReserveBoard(martin.r.bodenstein@frb.gov);CubaBorda:FederalReserveBoard(pablo.a.cubaborda@frb.gov);Gornemann:FederalReserveBoard(nils.m.gornemann@frb.gov);Presno:Fed-eralReserveBoard(ignacio.presno@frb.gov);Prestipino:FederalReserveBoard(andrea.prestipino@frb.gov);Queralto:FederalReserveBoard(albert.queralto@frb.gov);Raffo:FederalReserveBankofMinneapolis(an-drea.raffo@mpls.frb.org).WethankHessChung,ChrisErceg,MatteoIacoviello,LeonardoMelosi,andseminarparticipantsattheFederalReserveBoardfortheircommentsatdifferentstagesofthisproject.Theauthorsaregratefultothemanytalentedresearchassistantswhosupportedtheprojectovertheyears:JayFaris,ThomasKaupas,MikeMcHenry,AlexanderMechanick,DawsonMiller,DanielMolon,DylanMunson,andM
