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발표자:  Seungyub Han (Louisiana State University)

주제: Dollar Liquidity Flows in Small-Open Economies

장소: 대우관 본관 3층 323호 (송하경홀)

날짜: 7월 14일 월요일 오후 3시 00분 ~ 오후 4시 30분

자세한 내용은 아래를 확인해주시면 되겠습니다.

교수님들의 많은 참석을 부탁드리며 대학원생들이 참여할 수 있도록 적극 권유해 주시면 감사하겠습니다.

Abstract

Using detailed data of the Peruvian banking sector and a structural model of bank liquidity management, this paper examines how dollar-liquidity constraints and regulatory frameworks of local financial intermediaries shape exchange-rate dynamics and deviations from interest parities. We document that measures of local intermediary dollar liquidity and targeted regulatory indicators possess significant explanatory power for monthly exchange-rate movements and UIP, CIP deviations, even after controlling for standard risk and liquidity factors such as the VIX and global CIP spreads. Our model simulation reveals that the pronounced negative CIP deviations before 2014 largely reflect dollar-liquidity shortages among Peruvian banks, whereas the shift to positive deviations after 2014 is best explained by regulatory adjustments. Our micro-founded framework thus offers a novel platform for evaluating the effectiveness of quantity-based policy tools—such as capital controls and central-bank FX interventions—in stabilizing exchange-rate behavior.