Exchange rate exposure: A nonparametric approach
نویسندگان
چکیده
منابع مشابه
Emerging Market Exchange-Rate Exposure
We estimate the exposure of emerging-market companies to fluctuations in their domestic exchange rates. We use an instrumental-variable approach that identifies the total exposure of a company to exchange-rate movements, yet abstracts from the influence of confounding macroeconomic shocks. We find the impact of depreciations on emerging-market stock returns is overwhelmingly negative. Since we ...
متن کاملExchange rate prediction: a wavelet-neural approach
The paper deals with the use of artificial neural networks (ANN) for predictions of economic time series. First, we revise the basic existing ANN architectures for time series forecasting and describe their application on CZK/EUR exchange rate prediction. Next, we introduce a hybrid version of the ANN that builds upon the same network strategy but tries to enhance the prediction accuracy by fir...
متن کاملThe Foreign Exchange Rate Exposure of Nations ∗
Following the well-known approach by Adler and Dumas (1984) we evaluate the foreign exchange rate exposure of nations. Results based on data from 27 countries show that national foreign exchange rate exposures are significantly related to the current balance variables of corresponding economies. JEL Classification: G15, F31
متن کاملForeign 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...
متن کاملExchange Rate Exposure and Firm Dynamics
This paper develops a firm-dynamics model with heterogenous firms and endogenous currency debt composition to jointly study financing and investment decisions in developing economies. In our model, foreign currency borrowing arises from a trade-off between aggregate deviations from the risk-free uncovered interest rate parity and firms’ growth potential. Crucially, there is crosssectional heter...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Emerging Markets Review
سال: 2011
ISSN: 1566-0141
DOI: 10.1016/j.ememar.2011.05.002