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The impact of the introduction of the Euro on foreign exchange rate risk exposures

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Author Info
Bartram, Sohnke M.
Karolyi, G. Andrew

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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 13 (2006)
Issue (Month): 4-5 (October)
Pages: 519-549
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Handle: RePEc:eee:empfin:v:13:y:2006:i:4-5:p:519-549

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Karolyi, G. Andrew & Stulz, Rene M., 2003. "Are financial assets priced locally or globally?," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 16, pages 975-1020 Elsevier. [Downloadable!] (restricted)
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  2. Gordon M. Bodnar & M.H. Franco Wong, 2000. "Estimating Exchange Rate Exposures: Some "Weighty" Issues," NBER Working Papers 7497, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Fratzscher, M., 2001. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," Papers 48, Quebec a Montreal - Recherche en gestion.
    Other versions:
  4. Geczy, Christopher & Minton, Bernadette A & Schrand, Catherine, 1997. " Why Firms Use Currency Derivatives," Journal of Finance, American Finance Association, vol. 52(4), pages 1323-54, September. [Downloadable!] (restricted)
  5. Clarida, Richard H, 1997. "The Real Exchange Rate and US Manufacturing Profits: A Theoretical Framework with Some Empirical Support," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(3), pages 177-87, July. [Downloadable!] (restricted)
  6. 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. [Downloadable!] (restricted)
  7. Alejandro Micco & Ernesto Stein & Guillermo OrdoÒez, 2003. "The currency union effect on trade: early evidence from EMU," Economic Policy, CEPR, CES, MSH, vol. 18(37), pages 315-356, October. [Downloadable!] (restricted)
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  8. Jean-Pierre DANTHINE & Francesco Giavazzi & Ernst-Ludwig von Thadden, 2000. "European Financial Markets After EMU: A First Assessment," FAME Research Paper Series rp13, International Center for Financial Asset Management and Engineering. [Downloadable!]
    Other versions:
  9. Smith, Clifford W. & Stulz, Ren? M., 1985. "The Determinants of Firms' Hedging Policies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(04), pages 391-405, December. [Downloadable!]
  10. Doukas, John & Hall, Patricia H. & Lang, Larry H. P., 1999. "The pricing of currency risk in Japan," Journal of Banking & Finance, Elsevier, vol. 23(1), pages 1-20, January. [Downloadable!] (restricted)
  11. Morana, Claudio & Beltratti, Andrea, 2002. "The effects of the introduction of the euro on the volatility of European stock markets," Journal of Banking & Finance, Elsevier, vol. 26(10), pages 2047-2064, October. [Downloadable!] (restricted)
  12. Prasad, Anita Mehra & Rajan, Murli, 1995. "The role of exchange and interest risk in equity valuation: A comparative study of international stock markets," Journal of Economics and Business, Elsevier, vol. 47(5), pages 457-472, December. [Downloadable!] (restricted)
  13. Allayannis, George & Ihrig, Jane, 2001. "Exposure and Markups," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 14(3), pages 805-35.
  14. Jorion, Philippe, 1990. "The Exchange-Rate Exposure of U.S. Multinationals," Journal of Business, University of Chicago Press, vol. 63(3), pages 331-45, July. [Downloadable!] (restricted)
  15. Griffin, John M. & Andrew Karolyi, G., 1998. "Another look at the role of the industrial structure of markets for international diversification strategies1," Journal of Financial Economics, Elsevier, vol. 50(3), pages 351-373, December. [Downloadable!] (restricted)
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  16. Juann Hung, 1992. "Assessing the exchange rate's impact on U.S. manufacturing profits," Quarterly Review, Federal Reserve Bank of New York, issue Win, pages 44-63.
  17. Christie, Andrew A., 1982. "The stochastic behavior of common stock variances : Value, leverage and interest rate effects," Journal of Financial Economics, Elsevier, vol. 10(4), pages 407-432, December. [Downloadable!] (restricted)
  18. Jorion, Philippe, 1991. "The Pricing of Exchange Rate Risk in the Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(03), pages 363-376, September. [Downloadable!]
  19. Bris, Arturo & Koskinen, Yrjö & Nilsson, Mattias, 2004. "The Real Effects of the Euro: Evidence from Corporate Investments," CEPR Discussion Papers 4521, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  20. Maurice J.G. Bun & Franc J.G.M. Klaassen, 2002. "Has the Euro increased Trade?," Tinbergen Institute Discussion Papers 02-108/2, Tinbergen Institute. [Downloadable!]
  21. Claude Lopez & David H. Papell, 2003. "Convergence to Purchasing Power Parity at the Commencement of the Euro," Macroeconomics 0310008, EconWPA. [Downloadable!]
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  22. Amit Goyal & Pedro Santa-Clara, 2003. "Idiosyncratic Risk Matters!," Journal of Finance, American Finance Association, vol. 58(3), pages 975-1008, 06. [Downloadable!] (restricted)
  23. Bartram, Sohnke M., 2004. "Linear and nonlinear foreign exchange rate exposures of German nonfinancial corporations," Journal of International Money and Finance, Elsevier, vol. 23(4), pages 673-699, June. [Downloadable!] (restricted)
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  24. Luigi Zingales & Raghuram G. Rajan, 2003. "Banks and Markets: The Changing Character of European Finance," NBER Working Papers 9595, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  25. Griffin, John M & Stulz, Rene M, 2001. "International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 14(1), pages 215-41.
    Other versions:
  26. Bartov, Eli & Bodnar, Gordon M, 1994. " Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect," Journal of Finance, American Finance Association, vol. 49(5), pages 1755-85, December. [Downloadable!] (restricted)
  27. Hodder, James E., 1982. "Exposure to exchange-rate movements," Journal of International Economics, Elsevier, vol. 13(3-4), pages 375-386, November. [Downloadable!] (restricted)
  28. Bartov, Eli & Bodnar, Gordon M. & Kaul, Aditya, 1996. "Exchange rate variability and the riskiness of U.S. multinational firms: Evidence from the breakdown of the Bretton Woods system," Journal of Financial Economics, Elsevier, vol. 42(1), pages 105-132, September. [Downloadable!] (restricted)
  29. Bodnar, Gordon M. & Gentry, William M., 1993. "Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA," Journal of International Money and Finance, Elsevier, vol. 12(1), pages 29-45, February. [Downloadable!] (restricted)
  30. Jia He & Lilian K. Ng, 1998. "The Foreign Exchange Exposure of Japanese Multinational Corporations," Journal of Finance, American Finance Association, vol. 53(2), pages 733-753, 04. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Entorf & Jamin, 2005. "German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs," International Finance 0508005, EconWPA. [Downloadable!]
    Other versions:
  2. Shaun K. Roache & Matthew D. Merritt, 2006. "Currency Risk Premia in Global Stock Markets," IMF Working Papers 06/194, International Monetary Fund. [Downloadable!]
  3. Bartram, Söhnke M. & Burns, Natasha & Helwege, Jean, 2007. "Foreign Currency Exposure and Hedging: Evidence from Foreign Acquisitions," MPRA Paper 10122, University Library of Munich, Germany, revised 21 Aug 2008. [Downloadable!]
  4. Bris, Arturo & Koskinen, Yrjö & Nilsson, Mattias, 2003. "The Euro and Corporate Valuations," Working Paper Series in Economics and Finance 525, Stockholm School of Economics, revised 06 Dec 2003. [Downloadable!]
    Other versions:
  5. Bartram, Sohnke & Bodnar, Gordon, 2005. "The Exchange Rate Exposure Puzzle," MPRA Paper 6482, University Library of Munich, Germany. [Downloadable!]
  6. Bartram, Söhnke M. & Brown, Gregory W. & Minton, Bernadette, 2009. "Resolving the Exposure Puzzle: The Many Facets of Exchange Rate Exposure," MPRA Paper 14041, University Library of Munich, Germany. [Downloadable!]
  7. Bartram, Söhnke M. & Bodnar, Gordon M., 2006. "Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets," MPRA Paper 14018, University Library of Munich, Germany, revised 02 Nov 2008. [Downloadable!]
  8. Bartram, Söhnke M., 2007. "Corporate Cash Flow and Stock Price Exposures to Foreign Exchange Rate Risk," MPRA Paper 6662, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  9. Horst Entorf & Jochen Moebert & Katja Sonderhof, 2006. "The Foreign Exchange Rate Exposure of Nations," Darmstadt Discussion Papers in Economics 169, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
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