The Ricardian equivalence proposition: evidence from foreign exchange markets

Beck, Stacie

doi:10.1016/0261-5606(93)90021-3

Cited by 25 publications

(10 citation statements)

References 20 publications

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“…throughout is that the reaction in the price of foreign exchange is in the opposite direction as the reaction in interest rates, which tends to support the view that these are changes in real interest rates, and that they work on the exchange rate in the manner of the Dornbusch overshooting model. Beck (1993) finds that government announcements of unexpectedly large budget deficits cause the dollar to appreciate against foreign currencies, and argues that this is evidence against debt neutrality, and in favor of the Dornbusch overshooting model.…”

Section: Lb2b Announcement Effectsmentioning

confidence: 99%

A Survey of Empirical Research on Nominal Exchange Rates

Frankel

Rose²

1994

292

297

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Section: Lb2b Announcement Effectsmentioning

confidence: 99%

A Survey of Empirical Research on Nominal Exchange Rates

Frankel

Rose²

1994

292

297

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“…Beck (1993) finds anticipated news effects of two to three days in US public deficits. He assumes the existence of heterogeneous information due to the fact that a few market participants hold back some private information.…”

Section: Announcement Studiesmentioning

confidence: 99%

The Influence of Fundamentals on Exchange Rates: Findings From Analyses of News Effects

Rebitzky

2010

Journal of Economic Surveys

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As we survey the literature of macroeconomic news in the foreign exchange market, we can by now look back on nearly 30 years of research. The first studies which analysed news effects on exchange rates were established in the early 1990s (see, for example, Dornbusch). Almost at the same time Meese and Rogoff published their influential paper, revealing the forecasting inferiority in exchange rates of structural models against the random walk. This finding has shocked the pillars of exchange rate economics and thus cast general suspicion on research focusing on fundamentals in this field. The eventual rising popularity of event studies can partly be attributed to the re-establishment of the raison d'être of exchange rate economics. This work focuses on systematically surveying this literature with particular respect to its primary goal, i.e. shedding light on the analytical value of fundamental research. Thus, its major findings are, first, fundamental news does matter, whereas non-fundamental news matters to a lesser degree. Second, news influences exchange rates via two separated channels, i.e. incorporating common information into prices directly or indirectly based upon order flow. Third, with a few exceptions the impact of fundamental news on exchange rates is fairly stable over time.

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“…14 For industrial countries the evidence on the impact of fiscal policy on exchange rate movements is mixed. Some studies find a positive and significant relationship between fiscal expansions and the exchange rate (Feldstein (1986), Melvin et al (1989), Beck (1993)), while others do not find any statistically significant relationship (McMillin et al (1990), Koray and Chan (1991)). …”

Section: Government Budget Constraint Monetary Policy and The Fiscalmentioning

confidence: 99%

Fiscal and Monetary Nexus in Emerging Market Economies: How Does Debt Matter?

Vasishtha

Baig²,

Kumar³

et al. 2006

IMF Working Papers

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This paper examines two main aspects of the interaction between fiscal and monetary policy in emerging market economies. First, it explores the interest rate -inflation relationship in economies with different levels of external and domestic public debt using panel and cross-section data. The results show that interest rate -inflation elasticity weakens with debt/GDP and external debt/GDP. Second, it utilizes highfrequency data from Brazil, Turkey, and Poland to examine how market-determined variables react to economic news. The results suggest that when vulnerabilities are high, budget news has the most significant impact on country spreads and interest rates, and the impact of monetary policy is weakened. JEL Classification Numbers: H63, H30, E5

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The Ricardian equivalence proposition: evidence from foreign exchange markets

Cited by 25 publications

References 20 publications

A Survey of Empirical Research on Nominal Exchange Rates

A Survey of Empirical Research on Nominal Exchange Rates

The Influence of Fundamentals on Exchange Rates: Findings From Analyses of News Effects

Fiscal and Monetary Nexus in Emerging Market Economies: How Does Debt Matter?

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