The Economic Exchange Rate Exposure: Evidence for a Small Open Economy
This study examines the economic exchange rate exposure of 22 industries in Pakistan. The key findings of the study are: firstly, the findings show that industry-level share values are statistically significantly influenced by changes in the Pakistani Rupee (PKR)/US-dollar exchange rate, in general. Secondly, a statistically significant lagged response of stock values to exchange rate change is reported. Finally, the highly capital-intensive industries are, however, found to be more exposed to changes in exchange rate in comparison to the less capital-intensive industries. Further, the robustness of the exchange rate exposure does not fall over time.
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Volume (Year): VIII (2010)
Issue (Month): 4 (November)
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