Currency Exposure in China under the New Exchange Rate Regime: National Level Evidence

The Impact of Monetary Regime on the Exchange Rate Pass-Through under Exchange Rate Volatility (Dynamic Panel Data Approach)

Does the currency regime shape unhedged currency exposure?

This paper examines how unhedged currency exposure of firms varies with changes in currency flexibility. A sequence of four time periods with alternating high and low currency volatility in India provides a natural experiment in which changes in currency exposure of a panel of firms is measured, and the moral hazard versus incomplete markets hypotheses tested. We find that firms carried higher ...

New Estimation of China’s Exchange Rate Regime

The paper updates the answer to the question: what precisely is the exchange rate regime that China has put into place since 2005, when it announced a move away from the dollar peg? Is it a basket anchor with the possibility of cumulatable daily appreciations, as was announced at the time? We apply to this question a new approach to estimating countries’ de facto exchange rate regimes, a synthe...

The Interest Rate–Exchange Rate Nexus in Currency Crises

Sharp exchange rate depreciations in the East Asian crisis countries (Indonesia, Korea, and Thailand) raised doubts about the efficacy of increasing interest rates to defend the currency. Using a standard monetary model of exchange rate determination, this paper shows that tighter monetary policy was in fact associated with an appreciation of the exchange rate in these countries and during the ...

Foreign exchange rate exposure: Evidence from Canada

a r t i c l e i n f o JEL classification: G32 G12 G01 F31 D53 D82 Keywords: Financial risk Foreign exchange rate Nonlinear exposure Asymmetric exposure Nonparametric methods Using weekly data from 2003 to 2011, this paper examines the presence of exchange rate exposure in thirteen Canadian industry sectors. This study contributes to the literature in a number of ways: (i) it considers the prese...