The effects of government deficit on equilibrium real exchange rates and stock prices

Detalhes bibliográficos
Autor(a) principal: Moura, Marcelo
Data de Publicação: 2003
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/12592
Resumo: This paper studies the effect of government deficits on equilibrium real exchange rates and stock prices. The theoretical part modifies a two-country cash-in-advance model like used in Lucas(1982) and Sargent(1987) in order to accommodate an exchange rate market and a government that pursues fiscal and monetary policy targets. The implied result is that unanticipated shocks in government deficits raise expectations of both taxes and inflation and, therefore, are associated with real exchange rate devaluations and lower stock prices. This finding is strongly supported by empirical evidence for a group of 19 countries, representing 76% of world production
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spelling Moura, MarceloEscolas::EPGEFGV2014-11-25T12:04:43Z2014-11-25T12:04:43Z2003-05-15http://hdl.handle.net/10438/12592This paper studies the effect of government deficits on equilibrium real exchange rates and stock prices. The theoretical part modifies a two-country cash-in-advance model like used in Lucas(1982) and Sargent(1987) in order to accommodate an exchange rate market and a government that pursues fiscal and monetary policy targets. The implied result is that unanticipated shocks in government deficits raise expectations of both taxes and inflation and, therefore, are associated with real exchange rate devaluations and lower stock prices. This finding is strongly supported by empirical evidence for a group of 19 countries, representing 76% of world productionengEscola de Pós-Graduação em Economia da FGVSeminários de pesquisa econômica da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessThe effects of government deficit on equilibrium real exchange rates and stock pricesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaDéficit financeiroCâmbioAções (Finanças) - Preçosreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL1139.pdf1139.pdfapplication/pdf1285610https://repositorio.fgv.br/bitstreams/baf56cb8-76d8-4d79-ac8c-4b885d3b8da3/download5ed04a68b243010c22080de741ae0fa5MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/03cb95cd-46b6-4a47-b570-8778e10a2bab/downloaddfb340242cced38a6cca06c627998fa1MD52TEXT1139.pdf.txt1139.pdf.txtExtracted 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dc.title.eng.fl_str_mv The effects of government deficit on equilibrium real exchange rates and stock prices
title The effects of government deficit on equilibrium real exchange rates and stock prices
spellingShingle The effects of government deficit on equilibrium real exchange rates and stock prices
Moura, Marcelo
Economia
Déficit financeiro
Câmbio
Ações (Finanças) - Preços
title_short The effects of government deficit on equilibrium real exchange rates and stock prices
title_full The effects of government deficit on equilibrium real exchange rates and stock prices
title_fullStr The effects of government deficit on equilibrium real exchange rates and stock prices
title_full_unstemmed The effects of government deficit on equilibrium real exchange rates and stock prices
title_sort The effects of government deficit on equilibrium real exchange rates and stock prices
author Moura, Marcelo
author_facet Moura, Marcelo
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Moura, Marcelo
dc.subject.area.por.fl_str_mv Economia
topic Economia
Déficit financeiro
Câmbio
Ações (Finanças) - Preços
dc.subject.bibliodata.por.fl_str_mv Déficit financeiro
Câmbio
Ações (Finanças) - Preços
description This paper studies the effect of government deficits on equilibrium real exchange rates and stock prices. The theoretical part modifies a two-country cash-in-advance model like used in Lucas(1982) and Sargent(1987) in order to accommodate an exchange rate market and a government that pursues fiscal and monetary policy targets. The implied result is that unanticipated shocks in government deficits raise expectations of both taxes and inflation and, therefore, are associated with real exchange rate devaluations and lower stock prices. This finding is strongly supported by empirical evidence for a group of 19 countries, representing 76% of world production
publishDate 2003
dc.date.issued.fl_str_mv 2003-05-15
dc.date.accessioned.fl_str_mv 2014-11-25T12:04:43Z
dc.date.available.fl_str_mv 2014-11-25T12:04:43Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/12592
url http://hdl.handle.net/10438/12592
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Seminários de pesquisa econômica da EPGE
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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