No Puzzle: The Foreign Exchange Exposure of Australian Firms
In this paper we analyze the influence of currency movements on the value of Australian firms listed on the S&P/ASX 100 index for a period from 1980 - 2010 using daily, weekly, monthly and quarterly returns. The study estimates unconditional and conditional, time-varying and asymmetric, exchange rate exposure. We find a strong cross-sectional dispersion of excess exposure coefficients around a weakly positive average exposure. Also, the strength of the FX exposure increases from daily to quarterly sample frequencies and across time. We argue that the weak positive exposure of firms on average is consistent with the Australian dollar being a commodity currency and with theoretical predictions.
|Date of creation:||01 Aug 2012|
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- Jongmoo Choi & Elyas Elyasiani, 1997. "Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(2), pages 267-286, October.
- 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.
- Dominguez, Kathryn M.E. & Tesar, Linda L., 2006.
"Exchange rate exposure,"
Journal of International Economics,
Elsevier, vol. 68(1), pages 188-218, January.
- Jorion, Philippe, 1991. "The Pricing of Exchange Rate Risk in the Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(03), pages 363-376, September.
- Jorion, Philippe, 1990. "The Exchange-Rate Exposure of U.S. Multinationals," The Journal of Business, University of Chicago Press, vol. 63(3), pages 331-45, July.
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