Data and Code for "Central Banks as Dollar Lenders of Last Resort: Implications for Regulation and Reserve Holdings"

This paper explores how non-U.S. central banks behave when firms in their economies
engage in currency mismatch, borrowing more heavily in dollars than justified by their operating
exposures. We begin by documenting that, in a panel of 56 countries, central bank holdings of
dollar reserves are correlated with the dollar-denominated bank borrowing of their non-financial
corporate sectors, controlling for a number of known covariates of reserve accumulation. We then
build a model in which the central bank can deal with private-sector mismatch, and the associated
risk of a domestic financial crisis, in two ways: (i) by imposing ex ante financial regulations such
as bank capital requirements; or (ii) by building a stockpile of dollar reserves that allow it to serve
as an ex post dollar lender of last resort. The model highlights a novel externality: individual
central banks may over-accumulate dollar reserves, relative to what a global planner would choose.
This is because, in the presence of imperfect regulation of currency mismatch, individual central
banks do not internalize that their hoarding of reserves exacerbates a global scarcity of dollar-denominated safe assets, which lowers dollar interest rates and encourages firms to further increase
the currency mismatch of their liabilities. Relative to the decentralized outcome, a global planner
may therefore prefer higher capital requirements and reduced holdings of dollar reserves.

本文旨在探讨非美国中央银行在其经济体中的企业出现货币错配（currency mismatch）时的行为模式——即企业借入的美元债务规模远超其经营敞口的合理水平。本文首先基于56个国家的面板数据开展实证分析，结果表明：在控制一系列已知会影响储备积累的协变量后，各国中央银行持有的美元储备（dollar reserves），与其国内非金融企业部门的美元计价银行借款之间存在显著相关性。随后本文构建了一个理论模型，其中中央银行可通过两种途径应对私人部门的货币错配及其伴随的国内金融危机风险：其一，事前（ex ante）实施金融监管政策，例如银行资本要求；其二，积累美元储备池，从而在事后（ex post）充当美元最后贷款人（lender of last resort）。该模型揭示了一种全新的外部性：相较于全球规划者的最优选择，单个中央银行可能会过度积累美元储备。究其原因，在货币错配监管不完善的背景下，单个中央银行不会考虑到自身的储备囤积行为会加剧全球范围内美元计价安全资产的稀缺性，这将压低美元利率并进一步激励企业扩大其负债的货币错配程度。相较于分散化均衡结果，全球规划者或许会倾向于设定更高的资本要求，并减少美元储备的持有规模。