uu.seUppsala University Publications
Change search
ReferencesLink to record
Permanent link

Direct link
Static and Time-Varying Foreign Exchange Rate Exposure Estimation Methods
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies. University of Groningen.
2016 (English)Independent thesis Advanced level (degree of Master (One Year)), 20 HE creditsStudent thesis
Abstract [en]

This study examines the contingency of foreign exchange rate exposure and its antecedents onmodelling techniques utilized in previous literature. Based on a sample of 567 US non-financiallisted companies the analysis reveals that only 11.29% of firms face exposure to the US$ tradeweightedcurrency index when Jorion’s equation is run. By orthogonalizing market returns,allowing time variation in specifications, and applying both approaches simultaneously, it isshown that 49.56%, 73.72%, and 99.64%, respectively, of sample firms are significantly exposedto the US$ trade-weighted exchange rate variable. The paper also highlights the dependency ofexposure sources on empirical representations, insofar as cross-sectional estimation yieldsfeeble results, while panel estimation indicates significant causality for several explanatoryvariables.

Place, publisher, year, edition, pages
2016. , 26 p.
National Category
Business Administration
URN: urn:nbn:se:uu:diva-280137OAI: oai:DiVA.org:uu-280137DiVA: diva2:910152
Educational program
Master Programme in Business and Management
Available from: 2016-03-08 Created: 2016-03-08 Last updated: 2016-03-08Bibliographically approved

Open Access in DiVA

fulltext(927 kB)41 downloads
File information
File name FULLTEXT01.pdfFile size 927 kBChecksum SHA-512
Type fulltextMimetype application/pdf

By organisation
Department of Business Studies
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
Total: 41 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 47 hits
ReferencesLink to record
Permanent link

Direct link