A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention, Issues 2002-2029 |
Contents
Introduction | 3 |
Fiscal Nonneutrality and Portfolio Balance | 20 |
Debt as of Total Peso Denominated Government Debt | 29 |
Copyright | |
1 other sections not shown
Common terms and phrases
account equation allocations and prices Appendix asset market assume assumption cash constraint central bank closed form conjecture consumption path currency denominated bonds currency risk premia domestic assets domestic bonds domestic currency bonds domestic currency denominated Domestic Interest Rate drift and diffusion e-ẞt effects emerging markets endogenous exchange rate depreciation exchange rate jump exchange rate risk exchange rate volatility expected government spending fiscal neutrality foreign bonds geometric Brownian motion government policy Hamilton-Jacobi-Bellman equation higher interest rates households implies increase initial conditions Itô's lemma J(at ln(at lump-sum taxes monetary policy money supply nominal exchange rate nominal interest rate nominal money Obstfeld open market operations piece-wise constant portfolio balance real money balances risk premium steady sterilized intervention sticky price stochastic processes stochastic seigniorage Stock Operations Stulz time-varying tradable unanticipated uncovered interest parity unsterilized value function wealth