Impact of U.S. Twin Deficits on Bilateral Exchange Rates: Canada and China
2
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
This paper examines the U.S. twin deficits debate from a bilateral exchange rate with Canada and China and their respective international reserves angle. This one-lag dynamic linear model is based on the Euler equation expressed in a rational expectations component for aggregate consumption. Findings indicate that the variations in budget deficit had much less impact on the volatility in bilateral U.S.-China exchange rates than those for U.S.-Canada. The U.S. budget deficit variations tend to affect the variations in China’s international reserves but not in Canada’s. One reason is the near-fixed peg regime in the bilateral U.S.-China exchange rate during the study period of 1990 through 2008.
Abstract
This paper examines the U.S. twin deficits debate from a bilateral exchange rate with Canada and China and their respective international reserves angle. This one-lag dynamic linear model is based on the Euler equation expressed in a rational expectations component for aggregate consumption. Findings indicate that the variations in budget deficit had much less impact on the volatility in bilateral U.S.-China exchange rates than those for U.S.-Canada. The U.S. budget deficit variations tend to affect the variations in China’s international reserves but not in Canada’s. One reason is the near-fixed peg regime in the bilateral U.S.-China exchange rate during the study period of 1990 through 2008.
참고문헌 (23)
- Real Exchange Rate and International Reserves in the Era of Growing Financial and Trade Integration, "Aizenman, J.", NBER, ~, pp.NBER Working Paper No. 12363 (2006)
- Ball, L., "Monetary Policy Rule", pp.127~144 (1999), University of Chicago Press
- Betts, C., "Exchange Rate Dynamics in A Model of Pricing-to-Market", Journal of International Economics, 50, pp.215~244 (2000)
- Brock, W., "Optimal Economic Growth and Uncertainty : the Discounted Case", Journal of Economic Theory, 4, pp.479~513 (1972)
- Cashell, B., "The Economics of the Federal Budget Deficit", The Library of Congress, pp.12~ (2005)
- Fuller, W., "Introduction to Statistical Time Series" (1976), Wiley
- Gramlich, E., "U. S. Federal Budget Deficits and Gramm-Rudman-Hollings", American Economic Review, 80, pp.75~80 (1990)
- Kiani, K., "Federal Budget Deficits and Long-Term Interest Rates in USA", Quarterly Review of Economics and Finance, 49(1), pp.74~84 (2009)
- Kim, S., "Twin Deficit or Twin Divergence? Fiscal Policy, Current Account, and Real Exchange Rate in the US", Journal of International Economics, 74(2), pp.362~383 (2008)
- Kollman, R., "US Trade Balance Dynamics : the Role of fiscal Policy and Productivity Shocks and of financial market", Journal of International Money and Finance, 17, pp.637~669 (1998)
- McClave, J., "Statistics" (1997), Prentice Hall
- Miller, S., "Are the Twin Deficits Really Related?", Contemporary Economic Policy, 7(4), pp.91~115 (1989)
- Obstfeld, M., "Exchange Rate Dynamics Redux", Journal of Political Economy, 103, pp.624~660 (1995)
- Obstfeld, M., "Global Current Account Imbalances and Exchange Rate Adjustments", Brookings Papers on Economic Activity, 1, pp.67~123 (2005)
- Rock, J., "Debt and the Twin Deficits Debate", pp.7~30 (1991), Mayfield Publishing
- Rogoff, K., "Foreign Holdings of U.S. Debt: Is Our Economy Vulnerable?" (2007), Testimony before House Committee on the Budget
- Salvatore, D., "Twin Deficits, Growth and Stability of the US Economy : Editor’s Introduction", Journal of Policy Modeling, 28, pp.603~604 (2006)
- Sims, C., "Solving Linear Rational Expectations Models", Computational Economics, 20(1), pp.1~20 (2001)
- Valderrama, D., "What if Foreign Governments Diversified Their Reserves?", Economic Letter, Federal Reserve Bank of San Francisco, (17) (2005)
- Valderrama, D., "What Are the Risks to the United States of a Current Account Reversal", Economic Letter, Federal Reserve Bank of San Francisco, (29) (2006)
- Viard, A., "The New Budget Outlook: Policymakers Respond to the Surplus", Economic and Financial Review, Federal Reserve Bank of Dallas, Q2, pp.2~15 (1999)
- White House Office of Management and Budget, "A New Era of Responsibility : Renewing America’s Promise", US Printing Office, ~ (2009)
- Wilcox, D., "The Sustainability of Government Deficits : Implications of the Present-Value Borrowing Constraint. Journal of Money", Debt and Banking, 21, pp.291~306 (1989)