Linear and Nonlinear Foreign Exchange Rate Exposures of German Nonfinancial Corporations
AbstractIt has been viewed as an unsolved puzzle that only for a small number of firms a significant impact of foreign exchange rate risk on firm value could be detected empirically. This paper investigates whether the results of previous studies can be explained by the fact that only the linear exposure component has been estimated or that exchange rate indices were used. For a comprehensive sample of German firms, empirical evidence is presented for the existence of significant linear and nonlinear exposures, which can be identified for bilateral as well as multilateral foreign exchange rates. The percentage of foreign sales, measures of firm liquidity and industry sectors are significant determinants of the exposure.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0207001.
Length: 41 pages
Date of creation: 02 Jul 2002
Date of revision:
Note: Type of Document - PDF; prepared on PC; pages: 41 ; figures: included
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foreign exchange rates; exposure; corporate finance; risk management; derivatives;
Other versions of this item:
- 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.
- G3 - Financial Economics - - Corporate Finance and Governance
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
- F3 - International Economics - - International Finance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-07-31 (All new papers)
- NEP-FIN-2002-07-31 (Finance)
- NEP-IFN-2002-07-31 (International Finance)
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