Fiscal Cyclicality and Currency Risk Premia

被引:6
作者
Jiang, Zhengyang [1 ]
机构
[1] Northwestern Univ, Kellogg Sch Management, Evanston, IL 60208 USA
关键词
E42; F31; G15; REAL EXCHANGE-RATES; ASSET PRICES; LONG-RUN; POLICY; EXPLANATION; MONETARY; RETURNS; PUZZLES; MONEY; DEBT;
D O I
10.1093/rfs/hhab061
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
I develop a model of real exchange rate determination that attributes a central role to the intertemporal government budget condition, which equates the market value of government debt to the present value of government surpluses. To enforce this equilibrium condition in the presence of nominal rigidities, the real exchange rate has to adjust in response to shocks to government surpluses. The model predicts that fiscal shocks account for real exchange rate movements, and the factor structure in fiscal shocks aligns with the factor structure in currency returns. Both predictions are confirmed in the sample of developed countries.
引用
收藏
页码:1527 / 1552
页数:26
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