Macroeconomic determinants of foreign exchange rate exposure
Author
Abstract
Suggested Citation
DOI: 10.1016/j.qref.2020.10.022
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Horst Entorf & Jochen Moebert & Katja Sonderhof, 2011.
"The Foreign Exchange Rate Exposure of Nations,"
Open Economies Review, Springer, vol. 22(2), pages 339-353, April.
- Entorf, Horst & Moebert, Jochen & Sonderhof, Katja, 2006. "The foreign exchange rate exposure of nations," Darmstadt Discussion Papers in Economics 169, Darmstadt University of Technology, Department of Law and Economics.
- Entorf, Horst & Möbert, Jochen & Sonderhof, Katja, 2006. "The Foreign Exchange Rate Exposure of Nations," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 36755, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Entorf, Horst & Möbert, Jochen & Sonderhof, Katja, 2009. "The Foreign Exchange Rate Exposure of Nations," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77392, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Bartram, Sohnke M. & Karolyi, G. Andrew, 2006.
"The impact of the introduction of the Euro on foreign exchange rate risk exposures,"
Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 519-549, October.
- Sohnke M. Bartram & G. Andrew Karolyi, 2002. "The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures," Finance 0207005, University Library of Munich, Germany, revised 29 Oct 2003.
- Bartram, Sohnke M. & Karolyi, G. Andrew, 2004. "The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures," Working Paper Series 2005-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Simpson, Marc W. & Ramchander, Sanjay & Chaudhry, Mukesh, 2005. "The impact of macroeconomic surprises on spot and forward foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 693-718, September.
- S. Rubun Dey & Christopher J. Neely, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, vol. 92(Sep), pages 417-464.
- Mun, Kyung-Chun, 2012. "The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 383-394.
- Hamilton, James D & Kim, Dong Heon, 2002.
"A Reexamination of the Predictability of Economic Activity Using the Yield Spread,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(2), pages 340-360, May.
- James D. Hamilton & Dong Heon Kim, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," NBER Working Papers 7954, National Bureau of Economic Research, Inc.
- Hamilton, James Douglas & Kim, Dong Heon, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," University of California at San Diego, Economics Working Paper Series qt69v8p1m9, Department of Economics, UC San Diego.
- Beber, Alessandro & Fabbri, Daniela, 2012. "Who times the foreign exchange market? Corporate speculation and CEO characteristics," Journal of Corporate Finance, Elsevier, vol. 18(5), pages 1065-1087.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003.
"Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange,"
American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-1, University of Pennsylvania, Wharton School, Weiss Center.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?," Center for Financial Institutions Working Papers 02-23, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-16, Duke University, Department of Economics.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," NBER Working Papers 8959, National Bureau of Economic Research, Inc.
- 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.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Walter Dolde, 1993. "The Trajectory Of Corporate Financial Risk Management," Journal of Applied Corporate Finance, Morgan Stanley, vol. 6(3), pages 33-41, September.
- Francis, Bill B. & Hasan, Iftekhar & Hunter, Delroy M., 2008. "Can hedging tell the full story? Reconciling differences in United States aggregate- and industry-level exchange rate risk premium," Journal of Financial Economics, Elsevier, vol. 90(2), pages 169-196, November.
- Huffman, Stephen P. & Makar, Stephen D. & Beyer, Scott B., 2010. "A three-factor model investigation of foreign exchange-rate exposure," Global Finance Journal, Elsevier, vol. 21(1), pages 1-12.
- Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010.
"Exchange rate forecasting, order flow and macroeconomic information,"
Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
- Dagfinn Rime & Lucio Sarno & Elvira Sojli, 2007. "Exchange rate forecasting, order flow and macroeconomic information," Working Paper 2007/02, Norges Bank.
- Sarno, Lucio & Rime, Dagfinn & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers.
- Jaewoo Lee & Man‐Keung Tang, 2007. "Does Productivity Growth Appreciate the Real Exchange Rate?," Review of International Economics, Wiley Blackwell, vol. 15(1), pages 164-187, February.
- Ang, Andrew & Piazzesi, Monika & Wei, Min, 2006.
"What does the yield curve tell us about GDP growth?,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 359-403.
- Andrew Ang & Monika Piazzesi & Min Wei, 2003. "What does the yield curve tell us about GDP growth?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Andrew Ang & Monika Piazzesi & Min Wei, 2004. "What Does the Yield Curve Tell us about GDP Growth?," NBER Working Papers 10672, National Bureau of Economic Research, Inc.
- Newey, Whitney K & West, Kenneth D, 1987. "Hypothesis Testing with Efficient Method of Moments Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 777-787, October.
- Patro, Dilip K. & Wald, John K. & Wu, Yangru, 2002. "Explaining exchange rate risk in world stock markets: A panel approach," Journal of Banking & Finance, Elsevier, vol. 26(10), pages 1951-1972, October.
- 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.
- Kris Boudt & Christopher J. Neely & Piet Sercu & Marjan Wauters, 2017. "The response of multinationals’ foreign exchange rate exposure to macroeconomic news," Working Papers 2017-20, Federal Reserve Bank of St. Louis.
- Martin Glaum, 2002. "The Determinants Of Selective Exchange Risk Management–Evidence From German Non‐Financial Corporations," Journal of Applied Corporate Finance, Morgan Stanley, vol. 14(4), pages 108-121, January.
- repec:zbw:bofrdp:2008_014 is not listed on IDEAS
- Antoniou, Antonios & Zhao, Huainan & Zhou, Bilei, 2009. "Corporate debt issues and interest rate risk management: Hedging or market timing?," Journal of Financial Markets, Elsevier, vol. 12(3), pages 500-520, August.
- 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.
- Dumas, Bernard & Solnik, Bruno, 1995.
"The World Price of Foreign Exchange Risk,"
Journal of Finance, American Finance Association, vol. 50(2), pages 445-479, June.
- Bernard Dumas & Bruno Solnik, 1993. "The World Price of Foreign Exchange Risk," NBER Working Papers 4459, National Bureau of Economic Research, Inc.
- Bernard Dumas & Bruno Solnik, 1994. "The world price of foreign exchange risk," Working Papers hal-00607984, HAL.
- Dumas, B. & Solnik, B., 1994. "The World Price of Foreign Exchange Risk," DELTA Working Papers 94-05, DELTA (Ecole normale supérieure).
- Dumas, B. & Solnik, B., 1993. "The World Price of Foreign Exchange Risk," Weiss Center Working Papers 93-9, Wharton School - Weiss Center for International Financial Research.
- repec:bla:jfinan:v:53:y:1998:i:2:p:733-753 is not listed on IDEAS
- Bartram, Söhnke M. & Brown, Gregory W. & Minton, Bernadette A., 2010.
"Resolving the exposure puzzle: The many facets of exchange rate exposure,"
Journal of Financial Economics, Elsevier, vol. 95(2), pages 148-173, February.
- 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.
- Gordon M. Bodnar & Gregory S. Hayt & Richard C. Marston, 1998. "1998 Wharton Survey of Financial Risk Management by US Non-Financial Firms," Financial Management, Financial Management Association, vol. 27(4), Winter.
- Froot, Kenneth A & Scharfstein, David S & Stein, Jeremy C, 1993.
"Risk Management: Coordinating Corporate Investment and Financing Policies,"
Journal of Finance, American Finance Association, vol. 48(5), pages 1629-1658, December.
- Kenneth A. Froot & David S. Scharfstein & Jeremy C. Stein, 1992. "Risk Management: Coordinating Corporate Investment and Financing Policies," NBER Working Papers 4084, National Bureau of Economic Research, Inc.
- 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.
- Martin D. D. Evans & Richard K. Lyons, 2017.
"How is Macro News Transmitted to Exchange Rates?,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 14, pages 547-596,
World Scientific Publishing Co. Pte. Ltd..
- Evans, Martin D.D. & Lyons, Richard K., 2008. "How is macro news transmitted to exchange rates?," Journal of Financial Economics, Elsevier, vol. 88(1), pages 26-50, April.
- Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.
- 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.
- Chaieb, Ines & Mazzotta, Stefano, 2013. "Unconditional and conditional exchange rate exposure," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 781-808.
- Griffin, John M & Stulz, Rene M, 2001.
"International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 215-241.
- John M. Griffin & Rene M. Stulz, 1997. "International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns," NBER Working Papers 6243, National Bureau of Economic Research, Inc.
- Dominguez, Kathryn M.E. & Tesar, Linda L., 2006.
"Exchange rate exposure,"
Journal of International Economics, Elsevier, vol. 68(1), pages 188-218, January.
- Kathryn M.E. Dominguez & Linda L. Tesar, 2001. "Exchange Rate Exposure," NBER Working Papers 8453, National Bureau of Economic Research, Inc.
- Adam, Tim R. & Fernando, Chitru S., 2006. "Hedging, speculation, and shareholder value," Journal of Financial Economics, Elsevier, vol. 81(2), pages 283-309, August.
- Khoo, Andrew, 1994. "Estimation of foreign exchange exposure: an application to mining companies in Australia," Journal of International Money and Finance, Elsevier, vol. 13(3), pages 342-363, June.
- Oliver Entrop & Matthias F. Merkel, 2020. "Managers’ research education, the use of FX derivatives and corporate speculation," Review of Managerial Science, Springer, vol. 14(4), pages 869-901, August.
- 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.
- Gordon M. Bodnar & M.H. Franco Wong, 2003. "Estimating Exchange Rate Exposures: Issues in Model Structure," Financial Management, Financial Management Association, vol. 32(1), Spring.
- Aline Muller & Willem F. C. Verschoor, 2006. "European Foreign Exchange Risk Exposure," European Financial Management, European Financial Management Association, vol. 12(2), pages 195-220, March.
- Nance, Deana R & Smith, Clifford W, Jr & Smithson, Charles W, 1993. "On the Determinants of Corporate Hedging," Journal of Finance, American Finance Association, vol. 48(1), pages 267-284, March.
- Priestley, Richard & Odegaard, Bernt Arne, 2007. "Linear and nonlinear exchange rate exposure," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 1016-1037, October.
- Liu, Fang & Sercu, Piet & Vandebroek, Martina, 2015. "Orthogonalized regressors and spurious precision, with an application to currency exposures," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 245-263.
- Michael Faulkender, 2005. "Hedging or Market Timing? Selecting the Interest Rate Exposure of Corporate Debt," Journal of Finance, American Finance Association, vol. 60(2), pages 931-962, April.
- 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.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Fuchs, Fabian U., 2020. "Macroeconomic determinants of foreign exchange rate exposure," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-42-20, University of Passau, Faculty of Business and Economics.
- Entrop, Oliver & Fuchs, Fabian U., 2020. "Foreign exchange rate exposure of companies under dynamic regret," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-40-20, University of Passau, Faculty of Business and Economics.
- Krapl, Alain A., 2020. "The time-varying diversifiability of corporate foreign exchange exposure," Journal of Corporate Finance, Elsevier, vol. 65(C).
- 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.
- Krapl, Alain & Salyer, Robert, 2017. "The effects of fair value reporting on corporate foreign exchange exposures," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 215-238.
- Entrop, Oliver & Fuchs, Fabian U., 2020. "Implicit currency carry trades of companies," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-41-20, University of Passau, Faculty of Business and Economics.
- Sikarwar, Ekta, 2020. "Forex interventions and exchange rate exposure: Evidence from emerging market firms," Economic Modelling, Elsevier, vol. 93(C), pages 69-81.
- Bartram, Söhnke M. & Bodnar, Gordon, 2005. "The Exchange Rate Exposure Puzzle," MPRA Paper 6482, University Library of Munich, Germany.
- Aysun, Uluc & Guldi, Melanie, 2011.
"Exchange rate exposure: A nonparametric approach,"
Emerging Markets Review, Elsevier, vol. 12(4), pages 321-337.
- Uluc Aysun & Melanie Guldi, 2009. "Exchange rate exposure: A nonparametric approach," Working papers 2009-18, University of Connecticut, Department of Economics.
- Du, Ding, 2014. "Persistent exchange-rate movements and stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 36-53.
- Ekta Sikarwar & Ganesh Kumar Nidugala, 2018. "Effect of Central Bank Intervention in Estimating Exchange Rate Exposure: Evidence from an Emerging Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1), pages 60-95, April.
- 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.
- Mohammad Al‐Shboul & Sajid Anwar, 2014.
"Foreign exchange rate exposure: Evidence from Canada,"
Review of Financial Economics, John Wiley & Sons, vol. 23(1), pages 18-29, January.
- Al-Shboul, Mohammad & Anwar, Sajid, 2014. "Foreign exchange rate exposure: Evidence from Canada," Review of Financial Economics, Elsevier, vol. 23(1), pages 18-29.
- Choi, Jongmoo Jay & Jiang, Cao, 2009. "Does multinationality matter? Implications of operational hedging for the exchange risk exposure," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1973-1982, November.
- Oliver Entrop & Matthias F. Merkel, 2020. "Managers’ research education, the use of FX derivatives and corporate speculation," Review of Managerial Science, Springer, vol. 14(4), pages 869-901, August.
- Ekta Sikarwar & Roopak Gupta, 2019. "Economic exposure to exchange rate risk and financial hedging," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 46(4), pages 965-984, August.
- He, Qing & Liu, Junyi & Zhang, Ce, 2021. "Exchange rate exposure and its determinants in China," China Economic Review, Elsevier, vol. 65(C).
- Agyei-Ampomah, Sam & Mazouz, Khelifa & Yin, Shuxing, 2013. "The foreign exchange exposure of UK non-financial firms: A comparison of market-based methodologies," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 251-260.
- Entrop, Oliver & Merkel, Matthias F., 2018. "Managers' research education, the use of FX derivatives and corporate speculation," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-32-18, University of Passau, Faculty of Business and Economics.
- Asif, Raheel & Frömmel, Michael, 2022. "Exchange rate exposure for exporting and domestic firms in central and Eastern Europe," Emerging Markets Review, Elsevier, vol. 51(PA).
More about this item
Keywords
Exchange rate exposure; Macroeconomic expectations; Selective hedging;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G1 - Financial Economics - - General Financial Markets
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:quaeco:v:85:y:2022:i:c:p:77-102. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620167 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.