美元的帝国圈（英）

NO.1045 DECEMBER2022 TheDollar’sImperialCircle OzgeAkinci|GianlucaBenigno|SerraPelin|JonathanTurek TheDollar’sImperialCircle OzgeAkinci,GianlucaBenigno,SerraPelin,andJonathanTurekFederalReserveBankofNewYorkStaffReports,no.1045December2022 JELclassification:E32,E44,F41 Abstract Inthispaperwehighlightanewchannelthroughwhichdollarfluctuationscanbecomeaself-fulfillingpro-cyclicalforce.Wecallthismechanism“ImperialCircle”asitmakesthedollarthedominantmacroeconomicvariableinthecontextofthecurrentinternationalmonetarysystem.Atthecoreofit,thereisafundamentalasymmetrybetweentheshrinkingexposureofthe“real”U.S.economytoglobaldevelopmentsversusthegrowingglobalroleoftheU.S.dollar.Dollarappreciationleadstoadeclineinglobaleconomicactivity,whichinturnbenefits,inrelativeterms,thedollaritself,reinforcingtheinitialappreciationanditseffects. Keywords:multi-countryDSGEmodel,globalsupplychains,dollarcurrencypricing,tradespillovers Akinci,Benigno:FederalReserveBankofNewYork(emails:ozge.akinci@ny.frb.org,gianluca.benigno@ny.frb.org).Pelin:UniversityofCaliforniaatBerkeley(email:serra_pelin@berkeley.edu).Turek:JSTAdvisors.TheauthorsthankEthanNourbashandWilliamCross-Berminghamforexcellentresearchassistance. Thispaperpresentspreliminaryfindingsandisbeingdistributedtoeconomistsandotherinterestedreaderssolelytostimulatediscussionandelicitcomments.Theviewsexpressedinthispaperarethoseoftheauthor(s)anddonotnecessarilyreflectthepositionoftheFederalReserveBankofNewYorkortheFederalReserveSystem.Anyerrorsoromissionsaretheresponsibilityoftheauthor(s). Toviewtheauthors’disclosurestatements,visithttps://www.newyorkfed.org/research/staff_reports/sr1045.html. 1Introduction Theroleofthedollarinthecontextoftheinternationalmonetarysystemhasbeenexaminedandstudiedextensivelyintherecentanddistantpast.TheobjectiveofthisresearchistofocusontheroleofthedollarbycombiningseveralelementsthatcharacterizethestructureoftheinternationalmonetarysystemandtheU.S.economytohighlightachannelthroughwhichthedollarexercisesitspowerintheworldeconomytomakeitnotonlythedominantcurrencybutthedominantmacroeconomicvariable(i.e.,theImperialDollar,Soros(1984)andTurek(2020)). Therearetwokeyasymmetriesthatarecentraltothemechanismwefocuson.Thefirstasym-metryarisesfromtheglobaluseofthedollarintheinternationalmonetarysystemalongdifferentdimensionsthatexceedtherelativesizeoftheU.S.economywithintheglobaleconomy.ThesecondasymmetryoccursastheU.S.economyhasrelativelylimitedexposuretodevelopmentsintheworldeconomycomparedtoitstradingpartnerssothatthedollarsensitivitytoforeigndevelopmentissmaller.Indeed,weemphasizehowthedollarisadeterminantvariableintheglobalmanufacturingcyclebecauseofitsdominanceintradeinvoicing(see,forexample,GoldbergandTille(2008b)andGopinath(2016))anditsroleincreditintensiveglobalvaluechains(BrunoandShin(2021)).Astrongerdollarweakensglobalmanufacturingtradeandglobalmanufacturingoutputthroughthesechannels.GiventhattheU.S.economyismuchlessexposedtotheglobalmanufacturingcycleandisrelativelymoreserviceoriented,thedollartendstobenefitfromglobalmanufacturingweakness,reinforcingtheinitialstrengthanditseffect.ThecombinationofstructuralinternationalandU.S.specificelementscreatesthenaselffulfillingpro-cyclicalforcethatgivesrisetowhatwedubasImperialCircle2.0(see,Turek(2020)). Tovalidateouranalysiswebuildathree-countryopeneconomymodel(Akincietal.(2022))inthetraditionofObstfeldandRogoff(1995)andextendittoincorporatethekeyelementsbehindtheImperialCirclehypothesis.Weinterpretourmulti-polareconomyasrepresentingtheU.S.,theAdvancedEconomy(AE)countriesandEmergingMarket(EM)economies.AsintheDominantCurrencyParadigm(DCP)(Gopinathetal.(2020)),weassumethatfirmsintheEMblocsetpricesintheUSdollarwhilewekeeptheassumptionofproducercurrencypricingfortheAEbloc.1Inadditiontolabor,weallowforproducersinallcountriestousedomesticandforeignintermediateinputsintheproductionprocesstocapturepartofthecomplexityoftheintegratedinternationalproductionprocesses.Torepresenttheideaofcreditintensiveglobalvaluechain,weassumethatthereisaworkingcapitalconstraintsatthelevelofintermediateinputssothatfirmsborrowindollarunitstofinanceadvancedinputspayments.Finally,weallowforanasymmetricstructureintermsoftradeexposureofthedifferentblocsbyconsideringamodelwithtradedandnon-tradedsectorsinwhichwesettheU.S.economytobemorebiasedtowardsthenon-tradedsectorbothintermsofconsumptionandproduction. ThefocusofourrichbutsimplemodelistostudythetransmissionandamplificationmechanismoftheDollar’sImperialCircle,ratherthanprovidingafullquantitativeaccountgiventhemanyothersimplifyingassumptionsthatweembedintheframework.Indeed,tomimictheimperialcircle 1SeealsoAkinciandQueralto(2018)fortheroleofDCPinthespilloversofU.S.monetarypolicyshockstoemergingeconomies. dynamic,weconsideracyclicaltighteningshocktomonetarypolicyintheU.S.asadriverofthedollarappreciationandexplorehowthatpropagatesintotheworldeconomy. Weshowfourkeyresults:First,foragivenmonetarypolicyimpulse,thedollarappreciatesmoreunderdollarpricingandcreditintensiveglobalvaluechainsinEMs,astheU.Secon