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- Publisher Website: 10.1016/j.jfineco.2021.06.031
- Scopus: eid_2-s2.0-85110995891
- WOS: WOS:000723734200013
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Article: Government Policy Approval and Exchange Rates
| Title | Government Policy Approval and Exchange Rates |
|---|---|
| Authors | |
| Keywords | Exchange rate Government policy Risk premium |
| Issue Date | 2022 |
| Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec |
| Citation | Journal of Financial Economics, 2022, v. 143 n. 1, p. 303-331 How to Cite? |
| Abstract | Measures of US government policy approval are strongly related to persistent fluctuations in the dollar value. Contemporaneous correlations between approval ratings and the dollar approach 50% against advanced economy currencies. High approval ratings further forecast a decline in the dollar risk premium several years ahead and are associated with a persistent increase in economic growth and a reduction in economic volatility. We provide an illustrative model to interpret our empirical evidence. In the model, policy valuations (approvals) are forward-looking and increase at times of high expected policy-related growth and low policy-related uncertainty, which are times of a strong dollar and low dollar risk premium. |
| Persistent Identifier | http://hdl.handle.net/10722/300994 |
| ISSN | 2023 Impact Factor: 10.4 2023 SCImago Journal Rankings: 13.655 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Liu, Y | - |
| dc.contributor.author | Shaliastovich, I | - |
| dc.date.accessioned | 2021-07-06T03:13:04Z | - |
| dc.date.available | 2021-07-06T03:13:04Z | - |
| dc.date.issued | 2022 | - |
| dc.identifier.citation | Journal of Financial Economics, 2022, v. 143 n. 1, p. 303-331 | - |
| dc.identifier.issn | 0304-405X | - |
| dc.identifier.uri | http://hdl.handle.net/10722/300994 | - |
| dc.description.abstract | Measures of US government policy approval are strongly related to persistent fluctuations in the dollar value. Contemporaneous correlations between approval ratings and the dollar approach 50% against advanced economy currencies. High approval ratings further forecast a decline in the dollar risk premium several years ahead and are associated with a persistent increase in economic growth and a reduction in economic volatility. We provide an illustrative model to interpret our empirical evidence. In the model, policy valuations (approvals) are forward-looking and increase at times of high expected policy-related growth and low policy-related uncertainty, which are times of a strong dollar and low dollar risk premium. | - |
| dc.language | eng | - |
| dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec | - |
| dc.relation.ispartof | Journal of Financial Economics | - |
| dc.subject | Exchange rate | - |
| dc.subject | Government policy | - |
| dc.subject | Risk premium | - |
| dc.title | Government Policy Approval and Exchange Rates | - |
| dc.type | Article | - |
| dc.identifier.email | Liu, Y: yangliu5@hku.hk | - |
| dc.identifier.authority | Liu, Y=rp02326 | - |
| dc.description.nature | link_to_subscribed_fulltext | - |
| dc.identifier.doi | 10.1016/j.jfineco.2021.06.031 | - |
| dc.identifier.scopus | eid_2-s2.0-85110995891 | - |
| dc.identifier.hkuros | 323225 | - |
| dc.identifier.volume | 143 | - |
| dc.identifier.issue | 1 | - |
| dc.identifier.spage | 303 | - |
| dc.identifier.epage | 331 | - |
| dc.identifier.isi | WOS:000723734200013 | - |
| dc.publisher.place | Netherlands | - |