The Dollar's Double Life: Not All Dollar Appreciations Are Born Equal for the Cross‐Currency Basis
重新审视美元与交叉货币基差（XCB）掉期利差的关系，发现美元升值对基差的影响取决于美元所处的强弱区间：在低或中等区间时升值会扩大基差，但在高区间时效应减弱甚至逆转。
ABSTRACT This paper revisits the relationship between the US dollar and cross‐currency basis (XCB) swap spreads. We show that the strength and direction of this relationship depend on the prevailing regime of the broad dollar. The evidence suggests that the well‐documented “dollar appreciates, basis widens” result holds primarily when the dollar is in a low or intermediate regime. However, once the dollar transitions into a high regime, this association either weakens or reverses: a stronger dollar no longer widens the basis and may tighten it. Our findings reveal that not all dollar appreciations are created equal. For the same magnitude of dollar appreciation, basis spreads tend to widen significantly more in low‐ or intermediate‐dollar regimes than in high‐dollar regimes. We explain these results through a theoretical framework grounded in hedging demand and supply imbalances and validate them empirically using the term structure of XCB swap spreads of G10 currencies.