This thesis explores the transmission of exchange rate movements into export and import prices at both the aggregate and the disaggregate level for four advanced countries. We use several up-to-date econometric methods in order to provide robust measures of exchange rate pass-through. The main finding of our research is to provide clear support for the presence of asymmetry in the exchange rate pass-through, i.e. the fact that appreciations and depreciations are pass through prices in a different magnitude. Moreover, we find that, in many cases, the pass-through coefficient is higher when we take into account this asymmetry. Therefore not taking into account potential asymmetries may lead to wrong results in the ERPT estimation. This finding has several important implications for monetary policy. Indeed, policy-makers will face a dilemma as they try to pursue price stability and export competitiveness. Moreover, our research also studies whether the degree of trade openness affects the exchange rate pass-through. The results in this case show that there is no significant role for the degree of trade openness for most cases.