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Risk-taking channels and capital inflows into the US treasuries

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  • Tobe, Satoshi

Abstract

This letter explores dynamic interactions among capital inflows, asset prices, and leverage. A VAR model provides evidence that expansionary shocks to capital inflows into the US Treasuries lead to higher leverage by inducing appreciation in relative asset prices.

Suggested Citation

  • Tobe, Satoshi, 2015. "Risk-taking channels and capital inflows into the US treasuries," Economics Letters, Elsevier, vol. 136(C), pages 133-136.
    • Handle: RePEc:eee:ecolet:v:136:y:2015:i:c:p:133-136
    DOI: 10.1016/j.econlet.2015.09.025
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    References listed on IDEAS

    as
    1. Adrian, Tobias & Shin, Hyun Song, 2010. "Liquidity and leverage," Journal of Financial Intermediation, Elsevier, vol. 19(3), pages 418-437, July.
    2. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
    3. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
    4. Bruno, Valentina & Shin, Hyun Song, 2015. "Capital flows and the risk-taking channel of monetary policy," Journal of Monetary Economics, Elsevier, vol. 71(C), pages 119-132.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    International capital inflows; Treasury bond; Risk-taking channel; Procyclical leverage;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements

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