On August 10, 2012, Sanglim Lee defended his dissertation entitled “Expected Currency Excess Returns and Debt in the Business Cycle,” under the supervision of Professor Christian Zimmermann.
In the first chapter of his dissertation, Sanglim shows that the risk premium is an important factor in explaining deviations from Uncovered Interest Parity (UIP) in 20 developed and 18 developing countries. In the second chapter, he further examines the UIP condition with a two-country International Real Business Cycle model and shows that the business cycle risk driven by total factor productivity can account for deviations from UIP. The third chapter examines the effects of fiscal austerity on the Canadian economy using a two-sector small open economy model. The model’s simulation results indicate that the effect of fiscal austerity on the economy depends crucially on the relationship between public-debt levels and country-risk premiums.
Starting on October 8th, Sanglim works as a research fellow at the Korea Energy Economics Institute in South Korea.