Exchange Rate Risk Premium Estimation and an Analysis of Exchange Rate Pass-through into Import Prices



Wu, Sirui
(2018) Exchange Rate Risk Premium Estimation and an Analysis of Exchange Rate Pass-through into Import Prices. PhD thesis, University of Liverpool.

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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: Fac of Humanities & Social Sci > School of Management
Depositing User: Symplectic Admin
Date Deposited: 26 Jun 2019 15:14
Last Modified: 09 Jan 2021 04:07
DOI: 10.17638/03035944
Supervisors:
  • MILAS, Costas
URI: https://livrepository.liverpool.ac.uk/id/eprint/3035944