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Abstract
In this dissertation, we firstly analyze the exchange rate pass-through in twodifferent ways. In the first essay, we investigate the exchange ratepass-through on U.S. import prices. In the second essay, we analyze the exchange rate pass-through on Korean export price. In the first essay, we show that the exchange rate pass-through on the U.S. import price is not only incomplete but also small. We also show that the exchange rate pass-through on U.S. import price is decreasing over time. Even though the sign of the shock-specific exchange rate pass-through is positive for themost of shocks, we show that the shock-specific exchange rate pass-through from the U.S. money supply shock is negative. We find that the exchange rate pass-through differs by different shocks, by durability, and by industry. In the second essay, we also show that the structural exchange rate pass-through on the Korean export price is very small. We find that the shock-specific exchange rate pass-through on the Korean export price is always positive, irrespective of the source of the shocks. We show that an increase in the exchange rate volatility will decrease the Korean export volume. The sign of the shock-specific exchange rate volatility pass-throughon Korean export volume depends on the source of the shocks.