Date of Completion


Embargo Period



International Macroeconomics, Equity Home Bias, Consumption Risk Sharing, Exchange Rate Pass-Through

Major Advisor

Kanda Naknoi

Associate Advisor

Stephen Ross

Associate Advisor

Kai Zhao

Field of Study



Doctor of Philosophy

Open Access

Open Access


My dissertation first studies the implication of household asset cross-holdings for consumption risk sharing of US and Japanese households. Given the previous evidence that finds income as a strong predictor of US households’ foreign stock holdings, I use income level to divide households into groups with different probabilities to hold foreign stocks and compare the groups’ consumption sensitivity to the deviation of their country’s GDP growth from a global average, as a measure of consumption risk sharing. My result for the two countries does not suggest that higher income households have a higher level of international risk sharing.

Income is shown in the literature to be a positive predictor of US households' stock holdings, but there is no previous evidence that establishes the same relationship for Japanese households. In Chapter 2, I further investigate Japanese households’ portfolio choice by performing a logit regression. I show that income is a weak predictor of asset cross-holdings, but total asset value, savings deposit, and business ownership are strong predictors of Japanese households’ foreign stock market participation.

Chapter 3 focuses on a puzzle in previous studies on exporters’ pricing-to-market behavior which have significant estimates that are out of the reasonable range. Based on the latest theoretical development in the exchange rate pass-through literature, I test if the estimates are improved when competition from exporters from competing countries is controlled for. With imperfect measure in the control for competition, many out-of-range estimates disappear. Exporters in different industries respond to competitor's exchange rate shocks differently, with those who produce more homogeneous goods more likely to have a negative estimate.