A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention:
This paper develops a dynamic stochastic general equilibrium monetary portfolio choice model that accomplishes two objectives. First, it provides a theory of currency risk premia based on a weak and plausible form of fiscal nonneutrality. Domestic and foreign bonds become imperfect substitutes, the...
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
2002
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Schriftenreihe: | IMF Working Papers
Working Paper No. 02/29 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
Zusammenfassung: | This paper develops a dynamic stochastic general equilibrium monetary portfolio choice model that accomplishes two objectives. First, it provides a theory of currency risk premia based on a weak and plausible form of fiscal nonneutrality. Domestic and foreign bonds become imperfect substitutes, the uncovered interest parity condition is replaced with a portfolio balance equation, and the central bank can separately choose the growth rate of its nominal anchor and the domestic bond interest rate. Second, it can turn be shown that, and how, sterilized intervention affects equilibrium allocations and prices |
Beschreibung: | 1 Online-Ressource (44 p) |
ISBN: | 1451844816 9781451844818 |
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spelling | Kumhof, Michael Verfasser aut A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention Kumhof, Michael Washington, D.C International Monetary Fund 2002 1 Online-Ressource (44 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 02/29 This paper develops a dynamic stochastic general equilibrium monetary portfolio choice model that accomplishes two objectives. First, it provides a theory of currency risk premia based on a weak and plausible form of fiscal nonneutrality. Domestic and foreign bonds become imperfect substitutes, the uncovered interest parity condition is replaced with a portfolio balance equation, and the central bank can separately choose the growth rate of its nominal anchor and the domestic bond interest rate. Second, it can turn be shown that, and how, sterilized intervention affects equilibrium allocations and prices Online-Ausg Nieuwerburgh, Stijn van Sonstige oth http://elibrary.imf.org/view/IMF001/00039-9781451844818/00039-9781451844818/00039-9781451844818.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Kumhof, Michael A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention |
title | A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention |
title_auth | A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention |
title_exact_search | A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention |
title_exact_search_txtP | A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention |
title_full | A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention Kumhof, Michael |
title_fullStr | A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention Kumhof, Michael |
title_full_unstemmed | A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention Kumhof, Michael |
title_short | A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention |
title_sort | a fiscal theory of the currency risk premium and of sterilized intervention |
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