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Exchange rate exposures of US banks: A cash flow-based methodology

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  • Martin, Anna D.
  • Mauer, Laurence J.
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    File URL: http://www.sciencedirect.com/science/article/pii/S0378-4266(02)00253-4
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 27 (2003)
    Issue (Month): 5 (May)
    Pages: 851-865

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    Handle: RePEc:eee:jbfina:v:27:y:2003:i:5:p:851-865
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    1. Brown, Lawrence D., 1993. "Earnings forecasting research: its implications for capital markets research," International Journal of Forecasting, Elsevier, vol. 9(3), pages 295-320, November.
    2. Jongmoo Choi & Elyas Elyasiani, 1997. "Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(2), pages 267-286, October.
    3. John J. Pringle, 1991. "Managing Foreign Exchange Exposure," Journal of Applied Corporate Finance, Morgan Stanley, vol. 3(4), pages 73-82.
    4. Mian, Shehzad L., 1996. "Evidence on Corporate Hedging Policy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(03), pages 419-439, September.
    5. Hodder, James E., 1982. "Exposure to exchange-rate movements," Journal of International Economics, Elsevier, vol. 13(3-4), pages 375-386, November.
    6. Laurent L Jacque, 1981. "Management of Foreign Exchange Risk: A Review Article," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 12(1), pages 81-101, March.
    7. Wetmore, Jill L & Brick, John R, 1994. "Commercial Bank Risk: Market, Interest Rate, and Foreign Exchange," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(4), pages 585-596, Winter.
    8. Madura, Jeff & Zarruk, Emilio R, 1995. "Bank Exposure to Interest Rate Risk: A Global Perspective," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(1), pages 1-13, Spring.
    9. Darryll Hendricks & Beverly Hirtle, 1997. "Bank capital requirements for market risk: the internal models approach," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 1-12.
    10. Jongmoo Jay Choi & Anita Mehra Prasad, 1995. "Exchange Risk Sensitivity and Its Determinants: A Firm and Industry Analysis of U.S. Multinationals," Financial Management, Financial Management Association, vol. 24(3), Fall.
    11. Chow, Edward H & Lee, Wayne Y & Solt, Michael E, 1997. "The Exchange-Rate Risk Exposure of Asset Returns," The Journal of Business, University of Chicago Press, vol. 70(1), pages 105-123, January.
    12. Chow, Edward H & Lee, Wayne Y & Solt, Michael E, 1997. "The Economic Exposure of U.S. Multinational Firms," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(2), pages 191-210, Summer.
    13. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
    14. Brown, Lawrence D., 1993. "Reply to commentaries on "Earnings forecasting research: its implications for capital markets research"," International Journal of Forecasting, Elsevier, vol. 9(3), pages 343-344, November.
    15. Chamberlain, Sandra & Howe, John S. & Popper, Helen, 1997. "The exchange rate exposure of U.S. and Japanese banking institutions," Journal of Banking & Finance, Elsevier, vol. 21(6), pages 871-892, June.
    16. Choi, Jongmoo Jay & Elyasiani, Elyas & Kopecky, Kenneth J., 1992. "The sensitivity of bank stock returns to market, interest and exchange rate risks," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 983-1004, September.
    17. Jorion, Philippe, 1990. "The Exchange-Rate Exposure of U.S. Multinationals," The Journal of Business, University of Chicago Press, vol. 63(3), pages 331-345, July.
    18. Edward J. Kane & Haluk Unal, 1988. "Change in Market Assessments of Deposit-Institution Riskiness," NBER Working Papers 2530, National Bureau of Economic Research, Inc.
    19. Jongmoo Jay Choi, 1986. "A Model of Firm Valuation With Exchange Exposure," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 17(2), pages 153-160, June.
    20. Geczy, Christopher & Minton, Bernadette A & Schrand, Catherine, 1997. " Why Firms Use Currency Derivatives," Journal of Finance, American Finance Association, vol. 52(4), pages 1323-1354, September.
    21. Brown, Philip, 1993. "Comments on 'Earnings forecasting research: its implications for capital markets research' by L. Brown," International Journal of Forecasting, Elsevier, vol. 9(3), pages 331-335, November.
    22. Martin, Anna D & Madura, Jeff & Akhigbe, Aigbe, 1999. "Economic Exchange Rate Exposure of U.S.-Based MNCs Operating in Europe," The Financial Review, Eastern Finance Association, vol. 34(2), pages 21-36, May.
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    Cited by:

    1. Li, Donghui & Moshirian, Fariborz & Wee, Timothy & Wu, Eliza, 2009. "Foreign exchange exposure: Evidence from the U.S. insurance industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 306-320, April.
    2. Martin, Anna D. & Mauer, Laurence J., 2003. "Transaction versus economic exposure: which has greater cash flow consequences?," International Review of Economics & Finance, Elsevier, vol. 12(4), pages 437-449.
    3. Eric Wong & Jim Wong & Phyllis Leung, 2008. "The Foreign Exchange Exposure of Chinese Banks," Working Papers 0807, Hong Kong Monetary Authority.
    4. Wong, Tak-Chuen & Wong, Jim & Leung, Phyllis, 2009. "The foreign exchange exposure of Chinese banks," China Economic Review, Elsevier, vol. 20(2), pages 174-182, June.
    5. Martin, Anna D. & Mauer, Laurence J., 2004. "Scale economies in hedging foreign exchange cash flow exposures," Global Finance Journal, Elsevier, vol. 15(1), pages 17-27.
    6. Juan Carlos Cuestas & Ying Sophie Huang & Bo Tang, 2016. "Does the Yuan's Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?," Working Papers 2016006, The University of Sheffield, Department of Economics.
    7. Heeho Kim, 2013. "Uncertainty and risk premium puzzle," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(1), pages 62-79, January.
    8. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    9. Tsai, I-Chun & Chiang, Ming-Chu & Tsai, Huey-Cherng & Liou, Chia-Ho, 2014. "Hot money effect or foreign exchange exposure? Investigation of the exchange rate exposures of Taiwanese industries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 75-96.
    10. Serkan Yilmaz Kandir & Ahmet Erismis, 2010. "Investigating Exchange Rate Exposure of Bank Shares: Empirical Evidence From ISE," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(46), pages 49-83.
    11. Krapl, Alain & O'Brien, Thomas J., 2015. "Direct versus indirect regression estimates of foreign exchange cash flow exposure," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 103-112.
    12. 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.
    13. Akay, Gokhan H. & Cifter, Atilla, 2014. "Exchange rate exposure at the firm and industry levels: Evidence from Turkey," Economic Modelling, Elsevier, vol. 43(C), pages 426-434.
    14. Martin, Anna D. & Mauer, Laurence J., 2005. "A note on common methods used to estimate foreign exchange exposure," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 125-140, April.
    15. Pariyada Sukcharoensin, 2013. "Time-Varying Market, Interest Rate and Exchange Rate Risks of Thai Commercial Banks," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 9(1), pages 25-45.
    16. Muller, Aline & Verschoor, Willem F.C., 2006. "Foreign exchange risk exposure: Survey and suggestions," Journal of Multinational Financial Management, Elsevier, vol. 16(4), pages 385-410, October.
    17. Sahminan, Sahminan, 2007. "Effects of exchange rate depreciation on commercial bank failures in Indonesia," Journal of Financial Stability, Elsevier, vol. 3(2), pages 175-193, July.
    18. Bartram, Sohnke M., 2007. "Corporate cash flow and stock price exposures to foreign exchange rate risk," Journal of Corporate Finance, Elsevier, vol. 13(5), pages 981-994, December.
    19. Chang, Feng-Yi & Hsin, Chin-Wen & Shiah-Hou, Shin-Rong, 2013. "A re-examination of exposure to exchange rate risk: The impact of earnings management and currency derivative usage," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3243-3257.

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