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The exchange rate exposure puzzle: The long and the short of it

Author

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  • Snaith, Stuart
  • Termprasertsakul, Santi
  • Wood, Andrew

Abstract

The exchange rate exposure puzzle has remained robust to empirical scrutiny however evidence suggests the puzzle abates when longer horizons are considered. This paper applies inference that is appropriate in a long horizon setting and finds this evidence is illusory.

Suggested Citation

  • Snaith, Stuart & Termprasertsakul, Santi & Wood, Andrew, 2017. "The exchange rate exposure puzzle: The long and the short of it," Economics Letters, Elsevier, vol. 159(C), pages 204-207.
    • Handle: RePEc:eee:ecolet:v:159:y:2017:i:c:p:204-207
    DOI: 10.1016/j.econlet.2017.08.005
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    References listed on IDEAS

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    1. Aggarwal, Raj & Harper, Joel T., 2010. "Foreign exchange exposure of "domestic" corporations," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1619-1636, December.
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    9. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    10. Joseph, Nathan Lael & Lambertides, Neophytos & Savva, Christos S., 2015. "Short-horizon excess returns and exchange rate and interest rate effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 54-76.
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    Cited by:

    1. He, Qing & Liu, Junyi & Zhang, Ce, 2021. "Exchange rate exposure and its determinants in China," China Economic Review, Elsevier, vol. 65(C).
    2. Jaratin Lily & Imbarine Bujang & Abdul Aziz Karia & Mori Kogid, 2018. "Exchange rate exposure revisited in Malaysia: a tale of two measures," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 8(4), pages 409-435, December.

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    More about this item

    Keywords

    Exchange rate exposure; Economic exposure; Long horizon regression; Overlapping data;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F23 - International Economics - - International Factor Movements and International Business - - - Multinational Firms; International Business
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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