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The response of multinationals’ foreign exchange rate exposure to macroeconomic news

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  • Boudt, Kris
  • Neely, Christopher J.
  • Sercu, Piet
  • Wauters, Marjan

Abstract

We use intraday data to estimate the daily foreign exchange exposure of U.S. multinationals and show that macroeconomic news affects these firms’ foreign exchange exposure. News creates a substantial shift in the joint distribution of stock and exchange rate returns that has both a transitory and a persistent component. For example, a positive domestic demand surprise, as reflected in higher-than-expected nonfarm payroll, increases the value of the low-exposure domestic activities and results in a persistent decrease in foreign exchange exposure.

Suggested Citation

  • Boudt, Kris & Neely, Christopher J. & Sercu, Piet & Wauters, Marjan, 2019. "The response of multinationals’ foreign exchange rate exposure to macroeconomic news," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 32-47.
    • Handle: RePEc:eee:jimfin:v:94:y:2019:i:c:p:32-47
    DOI: 10.1016/j.jimonfin.2019.01.009
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    4. Syed Faisal Hasssan Bukhari & Waqar Yasir & Christian Espinosa Méndez & Zia Mustafa, 2023. "Sectoral Comparison of Herding During Global Financial Crisis and Covid-19: Comparative Analysis of Shariah Compliant and Conventional Stocks," Journal of Economic Impact, Science Impact Publishers, vol. 5(3), pages 202-210.
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    8. Munazza Jabeen & Abdul Rashid, 2022. "Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 14(2), pages 222-245, May.

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    More about this item

    Keywords

    Foreign exchange exposure; High-frequency data; Macro;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles

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