저자: 손민규(한국은행)

<요약>

This paper investigates how the global dominance of the US dollar amplifies the cross-border transmission of financial shocks originating in the United States. I develop a small open economy DSGE model that embeds the dollar’s central role in international trade and finance and calibrate it to the Korean economy. Key parameters are estimated by matching impulse responses to a shock in the excess bond premium (EBP), a standard measure of US financial conditions. The analysis shows that two core functions of the dollar in global finance—the role of dollar-denominated bonds as safe assets and the dollar’s centrality in financing working capital for global supply chains—constitute the primary channels through which US financial shocks spill over internationally. Absent these mechanisms, the output losses from US financial shocks would be more than two-thirds smaller. Finally, the results suggest that shifting trade invoicing from the dollar to the domestic currency can significantly dampen these spillovers as well, lowering the output losses by roughly one-fourth.