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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
Identifiers
URN: urn:nbn:se:uu:diva-280137OAI: oai:DiVA.org:uu-280137DiVA: diva2:910152
Educational program
Master Programme in Business and Management
Supervisors
Available from: 2016-03-08 Created: 2016-03-08 Last updated: 2016-03-08Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
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Language
  • de-DE
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  • nn-NB
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More languages
Output format
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  • asciidoc
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