Wu, Sirui
(2018)
Exchange Rate Risk Premium Estimation and an Analysis of Exchange Rate Pass-through into Import Prices.
PhD thesis, University of Liverpool.
![[img]](https://livrepository.liverpool.ac.uk/style/images/fileicons/text.png) |
Text
200907647_Sep2018.pdf - Unspecified Download (4MB) |
Abstract
This thesis investigates the workings of the exchange rate as it plays a key role in the financial market and international trading. Moreover, it has essential impacts on the monetary policy effectiveness. Chapter 1 discusses the initial motivations of this work, introduces the content of chapters, and briefly positions each essay. In Chapter 2, an innovative model with high predictive power is developed to estimate the currency risk premium based on the Taylor Rule fundamentals, which builds a bridge between exchange rates risk premium and macroeconomic variables. After that, the focus is switched to the exchange rate pass-through into import prices that measures the response of import prices to fluctuations in exchange rates. Chapter 3 studies the exchange rate pass-through into aggregated import prices for five developed economies while chapter 4 studies it on a disaggregated import price level for the UK. We found exchange rate pass-through differentiate across countries and we provide empirical evidences on the impacts of macroeconomic determinants of exchange rate pass-thorough. Finally, Chapter 5 provides concluding comments and suggestions for the future research. An appendix of all the equations introduced in this thesis is included at the very end.
| Item Type: | Thesis (PhD) |
|---|---|
| Divisions: | Faculty of Humanities and Social Sciences > School of Management |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 26 Jun 2019 15:14 |
| Last Modified: | 19 Jan 2023 00:55 |
| DOI: | 10.17638/03035944 |
| Supervisors: |
|
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3035944 |
Dimensions
Dimensions
