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The Exchange-Rate Exposure of U.S. Multinationals


  • Jorion, Philippe


This article examines the exposure of U.S multinationals to foreign currency risk. Evidence is presented that the relationship between stock returns and exchange rates differs systematically across multinationals. Given these results, the study focuses on the determinants of exchange-rate exposure. The comovements between stock returns and the value of the dollar is found to be positively related to the percentage of foreign operations of U.S. multinationals. Copyright 1990 by the University of Chicago.

Suggested Citation

  • 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.
  • Handle: RePEc:ucp:jnlbus:v:63:y:1990:i:3:p:331-45

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    References listed on IDEAS

    1. Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-987, December.
    2. Nelson, Charles R & Startz, Richard, 1990. "Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator," Econometrica, Econometric Society, vol. 58(4), pages 967-976, July.
    3. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-1286, September.
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