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Exchange rate regimes and the price of exchange rate risk

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  • Priestley, Richard
  • Odegaard, Bernt Arne

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  • Priestley, Richard & Odegaard, Bernt Arne, 2004. "Exchange rate regimes and the price of exchange rate risk," Economics Letters, Elsevier, vol. 82(2), pages 181-188, February.
    • Handle: RePEc:eee:ecolet:v:82:y:2004:i:2:p:181-188
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    References listed on IDEAS

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    1. Vassalou, Maria, 2000. "Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns," CEPR Discussion Papers 2448, C.E.P.R. Discussion Papers.
    2. Richard Baldwin & Paul Krugman, 1989. "Persistent Trade Effects of Large Exchange Rate Shocks," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 104(4), pages 635-654.
    3. Jorion, Philippe, 1991. "The Pricing of Exchange Rate Risk in the Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(3), pages 363-376, September.
    4. Vassalou, Maria, 2000. "Exchange rate and foreign inflation risk premiums in global equity returns," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 433-470, June.
    5. Baldwin, Richard, 1988. "Hyteresis in Import Prices: The Beachhead Effect," American Economic Review, American Economic Association, vol. 78(4), pages 773-785, September.
    6. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    7. Knetter, Michael M., 1994. "Is export price adjustment asymmetric?: evaluating the market share and marketing bottlenecks hypotheses," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 55-70, February.
    8. Allayannis, George & Weston, James P, 2001. "The Use of Foreign Currency Derivatives and Firm Market Value," Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 243-276.
    9. Avinash Dixit, 1989. "Hysteresis, Import Penetration, and Exchange Rate Pass-Through," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 104(2), pages 205-228.
    10. Antoniou, Antonios & Garrett, Ian & Priestley, Richard, 1998. "Calculating the equity cost of capital using the APT: the impact of the ERM," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 949-965, December.
    11. Allayannis, George & Ofek, Eli, 2001. "Exchange rate exposure, hedging, and the use of foreign currency derivatives," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 273-296, April.
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    Cited by:

    1. Rossi, José Luiz J., 2009. "Nonlinear Foreign Exchange Exposure: Evidence from Brazilian Companies," Insper Working Papers wpe_189, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    2. Muller, Aline & Verschoor, Willem F.C., 2006. "Asymmetric foreign exchange risk exposure: Evidence from U.S. multinational firms," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 495-518, October.
    3. Rossi Júnior, José Luiz, 2012. "Understanding Brazilian companies' foreign exchange exposure," Emerging Markets Review, Elsevier, vol. 13(3), pages 352-365.
    4. Rodolfo Aquino, 2006. "A variance equality test of the ICAPM on Philippine stocks: post-Asian financial crisis period," Applied Economics, Taylor & Francis Journals, vol. 38(3), pages 353-362.

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