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Title: Exchange rate risk premium estimation and an analysis of exchange rate pass-through into import prices
Author: Wu, Sirui
Awarding Body: University of Liverpool
Current Institution: University of Liverpool
Date of Award: 2018
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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.
Supervisor: Milas, Costas Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral