TY - BOOK ID - 136854845 TI - The Non-U.S. Bank Demand for U.S. Dollar Assets AU - Adrian, Tobias. AU - Xie, Peichu. PY - 2020 SN - 1513549391 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - United States KW - Banks and Banking KW - Econometrics KW - Foreign Exchange KW - Money and Monetary Policy KW - Accounting KW - Monetary Systems KW - Standards KW - Regimes KW - Government and the Monetary System KW - Payment Systems KW - Banks KW - Depository Institutions KW - Micro Finance Institutions KW - Mortgages KW - Estimation KW - Public Administration KW - Public Sector Accounting and Audits KW - Currency KW - Foreign exchange KW - Monetary economics KW - Banking KW - Econometrics & economic statistics KW - Financial reporting, financial statements KW - Exchange rates KW - Currencies KW - Exchange rate adjustments KW - Estimation techniques KW - Money KW - Econometric analysis KW - Financial statements KW - Public financial management (PFM) KW - Banks and banking KW - Econometric models KW - Finance, Public UR - https://www.unicat.be/uniCat?func=search&query=sysid:136854845 AB - The USD asset share of non-U.S. banks captures the demand for dollars by these investors. An instrumental variable strategy identifies a causal link from the USD asset share to the USD exchange rate. Cross-sectional asset pricing tests show that the USD asset share is a highly significant pricing factor for carry trade strategies. The USD asset share forecasts the dollar with economically large magnitude, high statistical significance, and large explanatory power, both in sample and out of sample, pointing towards time varying risk premia. It takes 2-5 years for exchange rate risk premia to normalize in response to demand shocks. ER -