The Library
Essays in international finance
Tools
Wang, Junxuan (2023) Essays in international finance. PhD thesis, University of Warwick.
PDF
WRAP_Theses_Wang_2023.pdf - Submitted Version Embargoed item. Restricted access to Repository staff only until 4 October 2025. Contact author directly, specifying your specific needs. - Requires a PDF viewer. Download (3907Kb) |
Official URL: http://webcat.warwick.ac.uk/record=b3979755
Abstract
This thesis consists of three papers on topics in international finance and studies the international role of the US dollar. The first paper investigates the impact of central bank swap lines during the 2020 pandemic on price, volatility, and micro-level effects. Using micro-level data on foreign exchange (FX) derivative contracts, we find that swap line participants engage in more favorable pricing of forward contracts, reduce their gross FX exposures, and increase their net supply of dollars to non-financial institutions. The second paper introduces a novel method to decompose the corporate basis, which measures price differences between bonds issued in dollars and foreign currencies by the same entity. Our approach uses credit spread and convenience yield differences to measure the relative demand for risky and safe dollar assets. We find that investors substitute between these assets in response to credit spread shocks. Furthermore, we observe significant effects of credit spread shocks on FX, equity, commodity markets, and real economic activity. The third paper studies heterogeneous exposure of USD-denominated bonds to exchange rate risk. I find that an appreciation of the US dollar increases the credit spread differential, known as the Foreign Discount, between dollar bonds issued by non-US and US firms. This heterogeneous exposure is linked to two main channels: the balance sheet channel and the dollar home bias channel. The balance sheet channel suggests that a non-US firm with substantial dollar liabilities experiences balance sheet contraction during US dollar appreciation, negatively impacting its dollar bonds. The dollar home bias channel implies that a stronger US dollar reduces the risk-taking capacity of non-US investors, leading them to sell off the non-US dollar bonds they predominantly hold.
Item Type: | Thesis (PhD) | ||||
---|---|---|---|---|---|
Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
||||
Library of Congress Subject Headings (LCSH): | International finance, Derivative securities, Foreign exchange, Banks and banking, Central, Swaps (Finance), Currency swaps, Bonds -- Prices, Dollar, American | ||||
Official Date: | September 2023 | ||||
Dates: |
|
||||
Institution: | University of Warwick | ||||
Theses Department: | Warwick Business School | ||||
Thesis Type: | PhD | ||||
Publication Status: | Unpublished | ||||
Supervisor(s)/Advisor: | Mueller, Philippe, 1975- ; Viswanath-Natraj, Ganesh | ||||
Format of File: | |||||
Extent: | xi, 199 pages : colour illustrations | ||||
Language: | eng |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |