Klongkratoke, Pittaya Econometric models in foreign exchange market. PhD thesis, University of Glasgow. According to the significance of the econometric models in foreign exchange market, the purpose of this research is to give a closer examination on some important issues in this area. The research covers exchange rate pass-through into import prices, liquidity risk and expected returns in the currency market, and the common risk factors in currency markets. Firstly, with the significant of the exchange rate pass-through in financial economics, the first empirical chapter studies on the degree of exchange rate pass-through into import in emerging economies and developed countries in panel evidences for comparison covering the time period of The pooled mean group estimation PMGE is used for the estimation to investigate the short run coefficients and error variance.
Exchange Rate Pass-Through Effect and Monetary Policy in Russia
"Essays on Exchange Rate Pass-Through" by Michael Malenbaum
Shocks Pass-Through to Prices in U. Eiman Aiyash , Eastern Illinois University. This paper investigates the degree of exchange rate and oil prices pass-through to import prices, producer prices, and consumer prices in Canada and United States over the period from to using a Structural Vector Auto-Regression SVAR model. Impulse response function reveals a persistent and incomplete pass-through for both exchange rates and oil prices i. That is, greater pass-through exist in an economy which has a more oil import share, more volatile monetary policy, and higher inflation rate.
Essays on exchange rate behaviour and macroeconomic performance in Ghana
Full text unavailable from EThOS. Please try the link below. This thesis examines the effect of exchange rates on stock returns and domestic prices.