Budget deficits and exchange rates: further evidence from cointegration and causality tests
AbstractAttempts to examine the relationship between budget (or public) deficits and exchange rates in eight OECD countries, namely Germany, the UK, Switzerland, Belgium, the Netherlands, Italy, France, and Canada over the period 1980-1995 by using quarterly data and the methodologies of cointegration, long-run causality and Granger (or short-run) causality tests. The empirical findings provide evidence in favour of the association between exchange rates and budget deficits with the impact of these deficits on the exchange rate, however, not being uniform. In certain cases budget deficits seem to have led to a currency depreciation, while in others to a currency appreciation.
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Bibliographic InfoArticle provided by Emerald Group Publishing in its journal Journal of Economic Studies.
Volume (Year): 25 (1998)
Issue (Month): 3 (September)
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Web page: http://www.emeraldinsight.com
Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK
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