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

Pilbeam, K. ORCID: 0000-0002-5609-8620 and Litsios, I. (2018). Long-run determination of the nominal exchange rate in the presence of national debts: Evidence from the yen-dollar exchange rate (18/01). London, UK: Department of Economics, City, University of 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.

Publication Type: Monograph (Discussion Paper)
Publisher Keywords: Nominal exchange rate, intertemporal optimization, national debt, asset prices, co-integration
Subjects: H Social Sciences > HB Economic Theory
Departments: School of Arts & Social Sciences > Economics > Discussion Paper Series
URI: http://openaccess.city.ac.uk/id/eprint/20233
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