國際緊縮時代的美元.pdf

1、The Dollar in an Era of InternationalRetrenchmentRyan ChahrourRosen ValchevCornell UniversityBoston CollegeIMF/Norges Bank/IMFER Conference onThe Future of Macroeconomic PolicyJune 15,2023International Fragmentation-Stylized View1/22This paperCould international fragmentation change special role of

2、USD?Quantitative theory that links trade and dollar dominance multiple steady states,unique dynamics introduce potential for regional heterogeneity Policy tools that change trade and financing patterns tariffs:between the US and China/or between the East/West currency supports:potential to“jumpstart

3、”international currency How do transitions unfold?Welfare implications?Bottom lines Dollar dominance is hard to change.Transition can be slow,until its not.2/22ModelModel Summary1.Four regions two big countries:US and CN two regions composed of s.o.e.s:Region A and Region B baseline:perfect symmetry

4、 between US/CN and between A/B2.Exogenous endowments3.Consumption is CES of all countrys goods home-bias in preferences4.Trading firms conduct all import/exports trading firms need financing(letter of credit)financing is denominated in either USD or CHY5.Big countries supply safe assets to world pot

5、entially unbalanced trade3/22Simplified Model1.Households trade safe assets internationally safe assets used to fund trading firms via search markets earn liquidity premium$jt1=Et?Cjt+1Cjt?1Q$t?1$jt?;$j=MF(B$j,Xj)B$j|z=prob.lending$r2.Trading firms need safe asset funding to complete int.transaction

6、s borrow assets from local households in search markets currency mismatch cost (e.g.expected default cost)V$j=MF(B$j,Xj)Xj|z=prob.obtaining$?r (1 X)?MF(BUj,1 Xj)1 Xj|z=prob.obtaining U?r X?4/22Simplified Model1.Households trade safe assets internationally safe assets used to fund trading firms via s

7、earch markets earn liquidity premium$jt1=Et?Cjt+1Cjt?1Q$t?1$jt?;$j=MF(B$j,Xj)B$j|z=prob.lending$r2.Trading firms need safe asset funding to complete int.transactions borrow assets from local households in search markets currency mismatch cost (e.g.expected default cost)V$j=MF(B$j,Xj)Xj|z=prob.obtain

8、ing$?r (1 X)?MF(BUj,1 Xj)1 Xj|z=prob.obtaining U?r X?4/22Simplified Model1.Households trade safe assets internationally safe assets used to fund trading firms via search markets earn liquidity premium$jt1=Et?Cjt+1Cjt?1Q$t?1$jt?;$j=MF(B$j,Xj)B$j|z=prob.lending$r2.Trading firms need safe asset funding

9、 to complete int.transactions borrow assets from local households in search markets currency mismatch cost (e.g.expected default cost)V$j=MF(B$j,Xj)Xj|z=prob.obtaining$?r (1 X)?MF(BUj,1 Xj)1 Xj|z=prob.obtaining U?r X?4/22Intuition:Feedback w.Multiple Steady States00.51USD bond portfolio share00.51Do

10、llar use by trading firmsPortf.share of US bonds given XX given portf.share of US bonds5/22Calibration HighlightsParameterConceptValueus=cnBig country measure0.200Mismatch cost0.010XusUS dollar share0.900XcnCN dollar share0.100CES elasticity of substitution4.000ConceptTarget ValueGross debt/GDP0.60U

11、S&CN trade/GDP0.35RW trade/GDP0.55RW USD use0.80Import markup1.20ParameterConceptValueBUS/CH asset supply1.475aus=acnHome bias big countries0.331ajHome bias RW0.298fFunding match.elas.0.292Fixed cost of entry0.0836/22Calibration HighlightsParameterConceptValueus=cnBig country measure0.200Mismatch co

12、st0.010XusUS dollar share0.900XcnCN dollar share0.100CES elasticity of substitution4.000ConceptTarget ValueGross debt/GDP0.60US&CN trade/GDP0.35RW trade/GDP0.55RW USD use0.80Import markup1.20ParameterConceptValueBUS/CH asset supply1.475aus=acnHome bias big countries0.331ajHome bias RW0.298fFunding m

13、atch.elas.0.292Fixed cost of entry0.0836/22Calibration HighlightsParameterConceptValueus=cnBig country measure0.200Mismatch cost0.010XusUS dollar share0.900XcnCN dollar share0.100CES elasticity of substitution4.000ConceptTarget ValueGross debt/GDP0.60US&CN trade/GDP0.35RW trade/GDP0.55RW USD use0.80

14、Import markup1.20ParameterConceptValueBUS/CH asset supply1.475aus=acnHome bias big countries0.331ajHome bias RW0.298fFunding match.elas.0.292Fixed cost of entry0.0836/22Calibration HighlightsParameterConceptValueus=cnBig country measure0.200Mismatch cost0.010XusUS dollar share0.900XcnCN dollar share

15、0.100CES elasticity of substitution4.000ConceptTarget ValueGross debt/GDP0.60US&CN trade/GDP0.35RW trade/GDP0.55RW USD use0.80Import markup1.20ParameterConceptValueBUS/CH asset supply1.475aus=acnHome bias big countries0.331ajHome bias RW0.298fFunding match.elas.0.292Fixed cost of entry0.0836/22Calib

16、ration HighlightsParameterConceptValueus=cnBig country measure0.200Mismatch cost0.010XusUS dollar share0.900XcnCN dollar share0.100CES elasticity of substitution4.000ConceptTarget ValueGross debt/GDP0.60US&CN trade/GDP0.35RW trade/GDP0.55RW USD use0.80Import markup1.20ParameterConceptValueBUS/CH ass

17、et supply1.475aus=acnHome bias big countries0.331ajHome bias RW0.298fFunding match.elas.0.292Fixed cost of entry0.0836/22Calibration HighlightsParameterConceptValueus=cnBig country measure0.200Mismatch cost0.010XusUS dollar share0.900XcnCN dollar share0.100CES elasticity of substitution4.000ConceptT

18、arget ValueGross debt/GDP0.60US&CN trade/GDP0.35RW trade/GDP0.55RW USD use0.80Import markup1.20ParameterConceptValueBUS/CH asset supply1.475aus=acnHome bias big countries0.331ajHome bias RW0.298fFunding match.elas.0.292Fixed cost of entry0.0836/22Calibration HighlightsParameterConceptValueus=cnBig c

19、ountry measure0.200Mismatch cost0.010XusUS dollar share0.900XcnCN dollar share0.100CES elasticity of substitution4.000ConceptTarget ValueGross debt/GDP0.60US&CN trade/GDP0.35RW trade/GDP0.55RW USD use0.80Import markup1.20ParameterConceptValueBUS/CH asset supply1.475aus=acnHome bias big countries0.33

20、1ajHome bias RW0.298fFunding match.elas.0.292Fixed cost of entry0.0836/22Baseline:Multiple Steady StatesUSD Coord.Symmetric*CNY Coord.MomentsUSCNABUSCNABUSCNABDollar Share0.900.100.800.800.900.100.500.500.900.100.200.20100(iU i$)1.08-0.00-1.08-100Impl.rev./GDP0.880.22-0.550.55-0.220.88-NFA/GDP-0.48-

21、0.340.210.21-0.45-0.450.230.23-0.34-0.480.210.21100Trade bal./GDP1.121.20-0.61-0.611.311.31-0.69-0.691.201.12-0.61-0.617/22Baseline:Multiple Steady StatesUSD Coord.Symmetric*CNY Coord.MomentsUSCNABUSCNABUSCNABDollar Share0.900.100.800.800.900.100.500.500.900.100.200.20100(iU i$)1.08-0.00-1.08-100Imp

22、l.rev./GDP0.880.22-0.550.55-0.220.88-NFA/GDP-0.48-0.340.210.21-0.45-0.450.230.23-0.34-0.480.210.21100Trade bal./GDP1.121.20-0.61-0.611.311.31-0.69-0.691.201.12-0.61-0.617/22Baseline:Multiple Steady StatesUSD Coord.Symmetric*CNY Coord.MomentsUSCNABUSCNABUSCNABDollar Share0.900.100.800.800.900.100.500

23、.500.900.100.200.20100(iU i$)1.08-0.00-1.08-100Impl.rev./GDP0.880.22-0.550.55-0.220.88-NFA/GDP-0.48-0.340.210.21-0.45-0.450.230.23-0.34-0.480.210.21100Trade bal./GDP1.121.20-0.61-0.611.311.31-0.69-0.691.201.12-0.61-0.617/22Baseline:Multiple Steady StatesUSD Coord.Symmetric*CNY Coord.MomentsUSCNABUSC

24、NABUSCNABDollar Share0.900.100.800.800.900.100.500.500.900.100.200.20100(iU i$)1.08-0.00-1.08-100Impl.rev./GDP0.880.22-0.550.55-0.220.88-NFA/GDP-0.48-0.340.210.21-0.45-0.450.230.23-0.34-0.480.210.21100Trade bal./GDP1.121.20-0.61-0.611.311.31-0.69-0.691.201.12-0.61-0.617/22Baseline:Multiple Steady St

25、atesUSD Coord.Symmetric*CNY Coord.MomentsUSCNABUSCNABUSCNABDollar Share0.900.100.800.800.900.100.500.500.900.100.200.20100(iU i$)1.08-0.00-1.08-100Impl.rev./GDP0.880.22-0.550.55-0.220.88-NFA/GDP-0.48-0.340.210.21-0.45-0.450.230.23-0.34-0.480.210.21100Trade bal./GDP1.121.20-0.61-0.611.311.31-0.69-0.6

26、91.201.12-0.61-0.617/22Baseline:Regions of Attraction8/22Baseline:Transition to USD-dominant Steady State010203040years-101Cons.relative to intial s.s.(%)010203040years0.50.60.70.80.9USD use by RW firmsUSCNRW A&B010203040years00.511.5r-r$(%)010203040years00.51USD bond portfolio share010203040years-0

27、.5-0.45-0.4-0.35US net foreign assets010203040years-0.42-0.4-0.38-0.36CN net foreign assets9/22Policy Experiment I,TariffsTariffs and Steady-State USD Usage US puts 40%tariffon CHUSD Coord.MiddleCNY Coord.ScenarioiU i$XaXbiU i$XaXbiU i$XaXbbaseline1.080.80 0.800.000.50 0.50-1.080.20 0.20unil.US tari

28、ffon CN1.250.85 0.85-0.250.44 0.44-0.980.24 0.24tit-for-tat betwn US&CN1.200.83 0.830.000.50 0.50-1.200.17 0.17unil.US tariffon RW B1.430.94 0.930.010.57 0.47-1.470.14 0.06coord.US&Reg.A on CN1.530.96 0.90-Note:Dashes(-)indicate that no such steady state exists;italics indicate a steady state that i

29、s dynamically unstable.10/22Tariffs and Steady-State USD Usage US puts 40%tariffon CH,CH responds in kindUSD Coord.MiddleCNY Coord.ScenarioiU i$XaXbiU i$XaXbiU i$XaXbbaseline1.080.80 0.800.000.50 0.50-1.080.20 0.20unil.US tariffon CN1.250.85 0.85-0.250.44 0.44-0.980.24 0.24tit-for-tat betwn US&CN1.2

30、00.83 0.830.000.50 0.50-1.200.17 0.17unil.US tariffon RW B1.430.94 0.930.010.57 0.47-1.470.14 0.06coord.US&Reg.A on CN1.530.96 0.90-Note:Dashes(-)indicate that no such steady state exists;italics indicate a steady state that is dynamically unstable.10/22Tariffs and Steady-State USD Usage US puts 40%

31、tariffon Region BUSD Coord.MiddleCNY Coord.ScenarioiU i$XaXbiU i$XaXbiU i$XaXbbaseline1.080.80 0.800.000.50 0.50-1.080.20 0.20unil.US tariffon CN1.250.85 0.85-0.250.44 0.44-0.980.24 0.24tit-for-tat betwn US&CN1.200.83 0.830.000.50 0.50-1.200.17 0.17unil.US tariffon RW B1.430.94 0.930.010.57 0.47-1.4

32、70.14 0.06coord.US&Reg.A on CN1.530.96 0.90-Note:Dashes(-)indicate that no such steady state exists;italics indicate a steady state that is dynamically unstable.10/22Tariffs and Steady-State USD Usage US and Region A put 40%tariffon Region CHUSD Coord.MiddleCNY Coord.ScenarioiU i$XaXbiU i$XaXbiU i$X

33、aXbbaseline1.080.80 0.800.000.50 0.50-1.080.20 0.20unil.US tariffon CN1.250.85 0.85-0.250.44 0.44-0.980.24 0.24tit-for-tat betwn US&CN1.200.83 0.830.000.50 0.50-1.200.17 0.17unil.US tariffon RW B1.430.94 0.930.010.57 0.47-1.470.14 0.06coord.US&Reg.A on CN1.530.96 0.90-Note:Dashes(-)indicate that no

34、such steady state exists;italics indicate a steady state that is dynamically unstable.10/22Tariffs and USD Durability US puts 40%tariffon CH11/22Tariffs and USD Durability US puts 40%tariffon Region B12/22Tariffs Summary1.Generally small changes relative to status quo2.Reducing trade with ROW region

35、s can hurt dollar3.Coordinated US+Region A tariffs makes dollar eq.more stable,ROW trades more with US overall13/22Policy Experiment II,CHY supportsBasic IdeaBackground:Eichengreen and Kawai(2015),“Renminbi Internationalization.”Prasad(2016),“Chinas efforts to expand the.use of the Renminbi”Bahaj&Re

36、is(2020),“Jumpstarting an International Currency”Policy induces a fraction z of Region B firms to use CHY unconditionally1.z=0.10 forever2.z=0.20 for certain number of years14/22Case 1:z=0.10 foreverUSD Coord.MiddleCNY Coord.ScenarioiU i$XaXbiU i$XaXbiU i$XaXbbaseline1.080.80 0.800.000.50 0.50-1.080

37、.200.20perm.support for yuan-1.150.190.17Note:Dashes(-)indicate that no such steady state exists;italics indicate a steady state that is dynamically unstable.15/22Case 1:z=0.10 forever020406080years-1.5-1-0.500.5Cons.relative to intial s.s.(%)USCN020406080years0.20.40.60.8USD use by RW firms(Xrw)RW

38、ARW B020406080years-101r-r$(%)020406080years00.51USD bond portfolio share020406080years-0.5-0.45-0.4-0.35-0.3US net foreign assets020406080years-0.5-0.45-0.4-0.35CN net foreign assets16/22Case 2:z=0.20 for H yearsOutcome depends on duration.110203040years-0.500.5cons.equivalentUSUSD in long runCNY i

39、n long run110203040years-0.500.5CN110203040years-0.0500.05RW A110203040years-0.0500.05RW B17/22Policy Experiment III,Global Trade ConflictScenario US and Region A put 40%tariffon CN and Region B CN and Region B put 40%tariffon US and Region A US and CN both induce z=0.20Cross-bloc trade falls 70%18/

40、22Scenario US and Region A put 40%tariffon CN and Region B CN and Region B put 40%tariffon US and Region A US and CN both induce z=0.20Cross-bloc trade falls 70%18/22Bloc-specific Dominant CurrenciesUSD Coord.MiddleCNY Coord.ScenarioiU i$XaXbiU i$XaXbiU i$XaXbbaseline1.080.80 0.800.000.50 0.50-1.080

41、.200.20strong fragmentation-0.001.00 0.00-Note:Dashes(-)indicate that no such steady state exists;italics indicate a steady state that is dynamically unstable.19/22Welfare ImplicationsWelfare Relative to Baseline:Permanent Consumption Units(incl.transitions)Situations in which the dollar remains dom

42、inant.USCNRW ARW Bunilateral 40%US tariffon CN-0.21-0.580.030.03tit-for-tat 40%tariffbetween US and CN-0.70-0.760.030.03unilateral 40%US tariffon RW B-0.48-0.090.11-0.67coordinated 40%US and RW A tariffs on CN-0.08-2.25-0.230.1620/22Welfare Relative to Baseline:Permanent Consumption Units(incl.trans

43、itions)Situations in which the dollar remains dominant.USCNRW ARW Bunilateral 40%US tariffon CN-0.21-0.580.030.03tit-for-tat 40%tariffbetween US and CN-0.70-0.760.030.03unilateral 40%US tariffon RW B-0.48-0.090.11-0.67coordinated 40%US and RW A tariffs on CN-0.08-2.25-0.230.1620/22Welfare Relative t

44、o Baseline:Permanent Consumption Units(incl.transitions)Situations in which the dollar remains dominant.USCNRW ARW Bunilateral 40%US tariffon CN-0.21-0.580.030.03tit-for-tat 40%tariffbetween US and CN-0.70-0.760.030.03unilateral 40%US tariffon RW B-0.48-0.090.11-0.67coordinated 40%US and RW A tariff

45、s on CN-0.08-2.25-0.230.1620/22Welfare Relative to Baseline:Permanent Consumption Units(incl.transitions)Situations in which the dollar remains dominant.USCNRW ARW Bunilateral 40%US tariffon CN-0.21-0.580.030.03tit-for-tat 40%tariffbetween US and CN-0.70-0.760.030.03unilateral 40%US tariffon RW B-0.

46、48-0.090.11-0.67coordinated 40%US and RW A tariffs on CN-0.08-2.25-0.230.1620/22Welfare Relative to Baseline:Permanent Consumption Units(incl.transitions)Situations in which the dollar remains dominant.USCNRW ARW Bunilateral 40%US tariffon CN-0.21-0.580.030.03tit-for-tat 40%tariffbetween US and CN-0

47、.70-0.760.030.03unilateral 40%US tariffon RW B-0.48-0.090.11-0.67coordinated 40%US and RW A tariffs on CN-0.08-2.25-0.230.1620/22Welfare Relative to Baseline:Permanent Consumption Units(incl.transitions)Situations in which the dollar remains dominant.USCNRW ARW Bunilateral 40%US tariffon CN-0.21-0.5

48、80.030.03tit-for-tat 40%tariffbetween US and CN-0.70-0.760.030.03unilateral 40%US tariffon RW B-0.48-0.090.11-0.67coordinated 40%US and RW A tariffs on CN-0.08-2.25-0.230.1620/22Welfare Relative to Baseline:Permanent Consumption Units(incl.transitions)Situations in which the dollar remains dominant.

49、USCNRW ARW Bunilateral 40%US tariffon CN-0.21-0.580.030.03tit-for-tat 40%tariffbetween US and CN-0.70-0.760.030.03unilateral 40%US tariffon RW B-0.48-0.090.11-0.67coordinated 40%US and RW A tariffs on CN-0.08-2.25-0.230.1620/22Welfare Relative to Baseline:Permanent Consumption Units(incl.transitions

50、)Situations in which the dollar loses dominance.USCNRW A RW Bpermanent support for yuan at 10%-0.270.270.000.00temporary(20 yrs)support for yuan at 20%-0.610.43-0.03-0.03strong fragmentation-2.91-2.20-2.90-2.87strong fragmentation(counterfactual X)-2.65-2.43-2.88-2.8721/22Welfare Relative to Baselin

51、e:Permanent Consumption Units(incl.transitions)Situations in which the dollar loses dominance.USCNRW A RW Bpermanent support for yuan at 10%-0.270.270.000.00temporary(20 yrs)support for yuan at 20%-0.610.43-0.03-0.03strong fragmentation-2.91-2.20-2.90-2.87strong fragmentation(counterfactual X)-2.65-

52、2.43-2.88-2.8721/22Welfare Relative to Baseline:Permanent Consumption Units(incl.transitions)Situations in which the dollar loses dominance.USCNRW A RW Bpermanent support for yuan at 10%-0.270.270.000.00temporary(20 yrs)support for yuan at 20%-0.610.43-0.03-0.03strong fragmentation-2.91-2.20-2.90-2.

53、87strong fragmentation(counterfactual X)-2.65-2.43-2.88-2.8721/22Welfare Relative to Baseline:Permanent Consumption Units(incl.transitions)Situations in which the dollar loses dominance.USCNRW A RW Bpermanent support for yuan at 10%-0.270.270.000.00temporary(20 yrs)support for yuan at 20%-0.610.43-0

54、.03-0.03strong fragmentation-2.91-2.20-2.90-2.87strong fragmentation(counterfactual X)-2.65-2.43-2.88-2.8721/22Welfare Relative to Baseline:Permanent Consumption Units(incl.transitions)Situations in which the dollar loses dominance.USCNRW A RW Bpermanent support for yuan at 10%-0.270.270.000.00tempo

55、rary(20 yrs)support for yuan at 20%-0.610.43-0.03-0.03strong fragmentation-2.91-2.20-2.90-2.87strong fragmentation(counterfactual X)-2.65-2.43-2.88-2.8721/22Conclusion1.USD dominance is not easy to change tariffpolicy matters because it changes trading patterns.but tariffpolicy must be coordinated w

56、ith RW countries to havesignificant impact2.Direct support for a currency(e.g.yuan)could have bigger impact policy must be large policy must last around 15 years3.Trade conflict hurts dominant currency country reduces the need for trade financing could change which countrys asset behind it4.If international trade becomes“bifurcated”,then currency choicescould as well.22/22