中文摘要
我们利用政策公告前后资产价格的高频反应，研究美元互换额度的影响。有关扩大美元互换额度的消息导致流动性溢价下降、抛补利率平价偏离幅度收窄，以及美元贬值。股票价格上涨，VIX下跌，而长期政府债券价格的反应则不一。高频反应的横截面表明，互换额度会影响美元因子或风险价格。我们的研究发现在定性上与那些将美元流动性供给同更广泛经济联系起来的模型相一致。(JEL E43, E44, E58, F31, G12, G13, G15)
Abstract
We study the effects of dollar swap lines using high-frequency responses in asset prices around policy announcements. News about expanded dollar swap lines causes a reduction in liquidity premia, compression of deviations from covered interest parity, and depreciation of the dollar. Equity prices rise and the VIX falls, while the response of long-term government bond prices is mixed. The cross section of high-frequency responses implies that swap lines affect the dollar factor or the price of risk. Our findings are qualitatively consistent with models relating the supply of dollar liquidity to the broader economy. (JEL E43, E44, E58, F31, G12, G13, G15)