| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8453 |
| 来源ID | Working Paper 8453 |
| Exchange Rate Exposure | |
| Kathryn M.E. Dominguez; Linda L. Tesar | |
| 发表日期 | 2001-09-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | In this paper we examine the relationship between exchange rate movements and firm value. We estimate the exchange rate exposure of publicly listed firms in a sample of eight (non-US) industrialized and emerging markets, and find that a significant percentage of these firms are indeed exposed. These results differ substantially from most previous studies in the literature that find little evidence of exposure. In robustness checks we find that: (i) the choice of exchange rate matters, and using the trade-weighted exchange rate is likely to understate the extent of exposure, (ii) conditioning on the value-weighted vs. the equally-weighted market index has little effect on estimated exposure, while conditioning on the international index does change the estimate of exposure, (iii) the extent of exposure is not a result of a spurious correlation between random variables with high variances, (iv) exposure increases with the return horizon, (v) within a country and within an industry, exposure coefficients are roughly evenly split between positive and negative values, (vi) averaging across the (absolute value of the) significant exposure coefficients in our sample of countries, we find an exposure coefficient of about 0.5, (vii) the extent of exposure is not sensitive to the sample period, but the set of firms that is exposed does vary over time, and (viii) the sign of the exposure coefficients changes across subperiods for about half of the firms of our sample. We find that exposure is not systematically related to firm size, industry affiliation, multinational status, foreign sales, international assets or industry-level trade. |
| 主题 | International Economics ; International Factor Mobility ; International Finance |
| URL | https://www.nber.org/papers/w8453 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566057 |
| 推荐引用方式 GB/T 7714 | Kathryn M.E. Dominguez,Linda L. Tesar. Exchange Rate Exposure. 2001. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8453.pdf（150KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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