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...
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. ...
Rigid fiscal rules, as opposed to flexible ones, are understood as rules that do not provide any specific features to enhance flexibility (e.g. escape clauses or provisions taking into account counter-cyclicality), see also the brief discussion in Sects. 2.3 and 3.4.2 respectively. Albuquerque...
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...