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The Role of National Debts in the Determination of the Yen-Dollar Exchange Rate

Litsios, I. and Pilbeam, K. ORCID: 0000-0002-5609-8620 (2018). The Role of National Debts in the Determination of the Yen-Dollar Exchange Rate. Economic Inquiry, doi: 10.1111/ecin.12735

Abstract

An intertemporal optimization model is developed to examine the determinants of the long-run nominal yen-dollar exchange rate in the presence of national debts. The model is tested empirically using data from 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: Article
Additional Information: This is the peer reviewed version of the following article: Pilbeam, K. and Litsios, I. (2018). The Role of National Debts in the Determination of the Yen-Dollar Exchange Rate. Economic Inquiry, which has been published in final form at https://doi.org/10.1111/ecin.12735. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.
Publisher Keywords: Nominal exchange rate, intertemporal optimization, national debt, asset prices, co-integration
Subjects: D History General and Old World > DS Asia
E History America > E151 United States (General)
H Social Sciences > HG Finance
H Social Sciences > HJ Public Finance
Departments: School of Arts & Social Sciences > Economics
URI: http://openaccess.city.ac.uk/id/eprint/20717
[img] Text - Accepted Version
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