Three essays on foreign exchange rates

Thumbnail Image
Date
2019-01-01
Authors
Prapassornmanu, Pichittra
Major Professor
Advisor
Rajesh Singh
Committee Member
Journal Title
Journal ISSN
Volume Title
Publisher
Authors
Research Projects
Organizational Units
Organizational Unit
Journal Issue
Is Version Of
Versions
Series
Department
Economics
Abstract

This dissertation focuses on the behavior of the exchange rate and the currency risk premium. The first chapter studies the problem of exchange rate disconnect from economic fundamentals by analyzing the role of heterogeneous information among investors. The second paper examines the relationship between currency risk premia, interest rate differentials, real exchange rates, and external imbalances. The third chapter investigates the violation of uncovered interest rate parity, the exchange rate, and the currency risk premium in a model where consumption growth prospects contain a long-run risk component with the stochastic volatility.

Comments
Description
Keywords
Citation
DOI
Source
Subject Categories
Copyright
Wed May 01 00:00:00 UTC 2019