Long-run determination of the nominal exchange rate in the presence of national debts: Evidence from the yen-dollar exchange rate

K. Pilbeam and I. Litsios

Working Papers from Department of Economics, City University London

Abstract: This paper develops an intertemporal optimization model to examine the determinants of the nominal exchange rate in the long run. The model is tested empirically using data from the Japan and the USA. The proposed theoretical specification is well supported by the data and shows that relative national debts as well as monetary and financial factors may play a significant role in the determination of the long-run nominal exchange rate between the yen and the dollar.

Keywords: Nominal exchange rate; intertemporal optimization; national debt; asset prices; co-integration (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://openaccess.city.ac.uk/id/eprint/20233/1/Pi ... onomics-DP-18_01.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cty:dpaper:18/01

Access Statistics for this paper

More papers in Working Papers from Department of Economics, City University London Department of Economics, Social Sciences Building, City University London, Whiskin Street, London, EC1R 0JD, United Kingdom,. Contact information at EDIRC.
Bibliographic data for series maintained by Research Publications Librarian ().