Degree Type

Dissertation

Date of Award

2019

Degree Name

Doctor of Philosophy

Department

Economics

Major

Economics

First Advisor

Rajesh Singh

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.

Copyright Owner

Pichittra Prapassornmanu

Language

en

File Format

application/pdf

File Size

151 pages

Included in

Economics Commons

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