Currency Risk PremiumGovernment SurplusI develop a model that relates real exchange rate movements to government fiscal conditions. The intertemporal government budget condition implies the value ofdoi:10.2139/ssrn.3059245Jiang, ZhengyangSocial Science Electronic Publishing
2023, The Fiscal Theory of the Price Level Fiscal Cyclicality and Currency Risk Premia 2022, Review of Financial Studies Michelson-Morley, fisher, and occam: The radical implications of stable quiet inflation at the zero bound 2018, NBER Macroeconomics Annual View all citing articles on Scopus1...
The model is able to reproduce a sizeable risk premium on long-term bonds and the cyclicality of fiscal policy has an impact on the bond premium that is quantitatively important. Technology, government spending, and mark-up shocks are the main drivers of the time-variation in bond premia. ...
Public debt is an important instrument for countries lacking domestic finance to support development projects, smooth short-term shocks, and promote poverty alleviation policies (Fatás et al., 2019; Panizza, 2022; Fujii, 2023). However, debt can be risky, especially if foreign currency dominates...
Furthermore, empirical research finds that fiscal rules are related to more accurate budget forecasts and improved sovereign bond ratings. From a macroeconomic perspective, well-designed fiscal rules do not principally undermine public investment, do not increase pro-cyclicality in fiscal policy-making ...
Fiscal Cyclicality and Currency Risk Premia (Internet Appendix)doi:10.2139/ssrn.3077657Nominal Exchange RateCurrency Risk PremiumGovernment SurplusOriginal paper is available at: https://ssrn.com/abstract=3059245. This supplemental appendix providesSocial Science Electronic Publishing...
2023, The Fiscal Theory of the Price Level Fiscal Cyclicality and Currency Risk Premia 2022, Review of Financial Studies Michelson-Morley, fisher, and occam: The radical implications of stable quiet inflation at the zero bound 2018, NBER Macroeconomics Annual View all citing articles on Scopus1...