货币政策传导的美元渠道

“TheSeries2025-046. The Dollar Channel of Monetary Policy Transmission∗Ralf R. MeisenzahlChicago FEDFriederike NiepmannFederal Reserve BoardTim Schmidt-EisenlohrFederal Reserve BoardJune 2025AbstractThis paper documents a new dollar channel that transmits monetary policy acrossborders.Exploiting unique features of the syndicated loan market for identification,we show that changes in the euro-dollar exchange rate around ECB monetary policyannouncements that are orthogonal to simultaneous changes in euro-area interest ratesand stock prices affect U.S. leveraged loan spreads. Specifically, in response to dollarappreciation, investors require higher compensation for risk, and borrowing costs forU.S. firms increase.These findings imply a causal link between the U.S. dollar andinvestors’ risk appetite.Keywords:loan pricing, monetary policy spillovers, dollar, institutional investors, risktakingJEL Classification:F15, G15, G21, G23∗Meisenzahl: Federal Reserve Bank of Chicago. Address: 230 South LaSalle Street, Chicago, IL 60604.Email:ralf.meisenzahl@chi.frb.org.Niepmann:Board of Governors of the Federal Reserve System.Address:20 and C Streets, Washington, DC 20551.Email:friederike.niepmann@frb.gov.Schmidt-Eisenlohr: Board of Governors of the Federal Reserve System. Address: 20 and C Streets, Washington, DC20551. Email:tim.schmidt-eisenlohr@frb.gov. We thank Marek Jarocinski and Niklas Kroner, as wellas seminar participants at the Bank of Ireland, CEPR “WE ARE” series, Chicago FED, Federal ReserveBoard, the New York Fed, the Universidad the Los Andes, the University of Cambridge, the CESIfo AreaConference on Money, Macro, and International Finance, and Whitman SOM, for helpful comments andsuggestions. We also thank Wenxin Du and Andreas Schrimpf for making available some data used in thisresearch.Annie McCrone provided outstanding research assistance.The opinions expressed are those ofthe authors and do not necessarily reflect the view of the Board of Governors, the Federal Reserve Bank ofChicago or the staff of the Federal Reserve System. 1IntroductionThe effects of monetary policy unfold through a number of channels. Central bank actionsnot only change the monetary policy stance but also reveal information about the econ-omy (Nakamura and Steinsson, 2018; Jaroci´nski and Karadi, 2020). Moreover, recent work(Boehm and Kroner, 2024; Kroencke, Schmeling, and Schrimpf, 2021) argues that monetarypolicy actions have large effects that are not reflected in the yield curve. While these issueshave been studied in the domestic context, little is known about whether channels inde-pendent of yield curve changes play a role for the transmission of monetary policy acrossborders.In this paper, we document a new dollar channel of cross-border monetary policy trans-mission by studying how ECB monetary policy spills over to the United States. We showthat dollar movements around ECB monetary policy announcements that are orthogonal tochanges in the euro-area yield curve and stock market predict U.S. risky asset prices, specif-ically leveraged loan spreads.In response to dollar appreciation, borrowing costs for U.S.firms increase because investors in leveraged loans require a higher compensation for riskresulting in higher spreads, potentially because of their foreign currency exposures (Brunoand Shin, 2015). Our findings imply a causal interpretation for the previously documentedlink between the U.S. dollar and investors’ risk appetite (Avdjiev et al., 2019).We study monetary spillovers to the$1.4 trillion U.S. leveraged loan market, whichrepresents the risky segment of the syndicated loan market. Leveraged loans have variable 1 rates and are syndicated over roughly two-week periods during which the spread the borrowerneeds to pay is adjusted based on the demand for the loan from investors. We study how theseadjustments—the so-called spread flexes—respond to ECB monetary policy announcements.Because we only look at changes in the spread within a loan after initial loan terms havebeen set, changes in the spread do not reflect selection effects across borrowers but shiftingrisk preferences of investors.To disentangle different ways in which monetary policy transmits across borders, werelate spread flexes to high-frequency changes in euro-area interest rates, the euro-area stockprice index, and the euro-dollar exchange rate around ECB announcements from Altavillaet al. (2019), so-called ECB surprises. We find that a surprise appreciation of the euro-dollarexchange rate by one percent during the syndication period increases the spread paid on aleveraged loan by up to 22 basis points. This dollar effect is identified with movements inthe euro-dollar exchange rate that are orthogonal to simultaneous euro-area interest rateand stock prices changes.To the best of our knowledge, we are the first to show thatforeign monetary policy transmits to U.S. borrowing costs through a dollar channel that isindependent of changes in interest rates