The Economic Exchange Rate Exposure: Evidence for a Small Open Economy
This study examines the economic exchange rate exposure for 22 industries in Pakistan. The key findings of the study are as follows. Firstly, it shows that industry-level share values are statistically significantly influenced by changes in the PKR/US-dollar exchange rate in general. Secondly it reports a statistically significant lagged response of stock values to exchange rate change. Finally, the highly capital intensive industries are, however, more exposed to changes in exchange rate as compared to less capital intensive industries. The robustness of the exchange rate exposure does not fall over time.
|Date of creation:||15 Sep 2009|
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Web page: https://mpra.ub.uni-muenchen.de
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- Timothy A Luehrman, 1991. "Exchange Rate Changes and the Distribution of Industry Value," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 22(4), pages 619-649, December.
- Kathryn M. E. Dominguez & Linda L. Tesar, 2001.
"A Reexamination of Exchange-Rate Exposure,"
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American Economic Association, vol. 91(2), pages 396-399, May.
- Kathryn M.E Dominguez & Linda L. Tesar, 2001. "A Re-Examination of Exchange Rate Exposure," Working Papers 465, Research Seminar in International Economics, University of Michigan.
- Kathryn M.E. Dominguez & Linda L. Tesar, 2001. "A Re-Examination of Exchange Rate Exposure," NBER Working Papers 8128, National Bureau of Economic Research, Inc.
- Gordon M. Bodnar & M.H. Franco Wong, 2000. "Estimating Exchange Rate Exposures: Some "Weighty" Issues," NBER Working Papers 7497, National Bureau of Economic Research, Inc.
- Gordon M. Bodnar & Bernard Dumas & Richard C. Marston, 2002. "Pass-through and Exposure," Journal of Finance, American Finance Association, vol. 57(1), pages 199-231, 02.
- Bodnar, G.M. & Dumas, B. & Marston, R.C., 1998. "Pass-Through and Exposure," Weiss Center Working Papers 98-01, Wharton School - Weiss Center for International Financial Research.
- Bodnar, Gordon M. & Dumas, Bernard & Marston, Richard C., 2000. "Pass-through and Exposure," Working Papers 00-4, University of Pennsylvania, Wharton School, Weiss Center.
- 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.
- Pritamani, Mahesh D. & Shome, Dilip K. & Singal, Vijay, 2004. "Foreign exchange exposure of exporting and importing firms," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1697-1710, July.
- 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 & Moebert, Jochen & Sonderhof, Katja, 2007. "The foreign exchange rate rate exposure of nations," ZEW Discussion Papers 07-005, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Gao, Ting, 2000. "Exchange rate movements and the profitability of U.S. multinationals," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 117-134, February.
- 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.
- Bartov, Eli & Bodnar, Gordon M, 1994. " Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect," Journal of Finance, American Finance Association, vol. 49(5), pages 1755-1785, December.
- Martin Glaum & Marko Brunner & Holger Himmel, 2000. "The DAX and the Dollar: The Economic Exchange Rate Exposure of German Corporations," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 31(4), pages 715-724, December.
- Kent D Miller & Jeffrey J Reuer, 1998. "Firm Strategy and Economic Exposure to Foreign Exchange Rate Movements," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 29(3), pages 493-513, September. Full references (including those not matched with items on IDEAS)
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