Exchange rate as a monetary-fiscal phenomenon
Abstract/Contents
- Abstract
- I develop a framework that connects exchange rates to monetary and fiscal policies. In my framework, government is like a company. On the one hand, each government has liabilities, which are mostly debt denominated in local currency. On the other hand, each government also has earnings, which are tax revenues net of government spendings. The government's liabilities are affected by its monetary policy, while its earnings are affected by its fiscal policy. Because the government uses its earnings to pay back its local currency debt, the value of the local currency reflects the present value of government surpluses per unit of government debt. This relationship predicts that exchange rates comove with fiscal conditions, and that currency risk premia are determined by the cyclicalities of government earnings, both of which are validated in the data.
Description
| Type of resource | text |
|---|---|
| Form | electronic resource; remote; computer; online resource |
| Extent | 1 online resource. |
| Place | California |
| Place | [Stanford, California] |
| Publisher | [Stanford University] |
| Copyright date | 2018; ©2018 |
| Publication date | 2018; 2018 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Author | Jiang, Zhengyang |
|---|---|
| Degree supervisor | Cochrane, John H. (John Howland), 1957- |
| Degree supervisor | Lustig, Hanno |
| Thesis advisor | Cochrane, John H. (John Howland), 1957- |
| Thesis advisor | Lustig, Hanno |
| Thesis advisor | Bryzgalova, Svetlana |
| Thesis advisor | Duffie, Darrell |
| Degree committee member | Bryzgalova, Svetlana |
| Degree committee member | Duffie, Darrell |
| Associated with | Stanford University, Graduate School of Business. |
Subjects
| Genre | Theses |
|---|---|
| Genre | Text |
Bibliographic information
| Statement of responsibility | Zhengyang Jiang. |
|---|---|
| Note | Submitted to the Graduate School of Business. |
| Thesis | Thesis Ph.D. Stanford University 2018. |
| Location | electronic resource |
Access conditions
- Copyright
- © 2018 by Zhengyang Jiang
- License
- This work is licensed under a Creative Commons Attribution Non Commercial 3.0 Unported license (CC BY-NC).
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