Exchange rate volatility and exports : estimation of firms risk preferences

Udo Broll, Soumyatanu Mukherjee, Rudra Sensarma

In this companion paper to Broll and Mukherjee (2017), we empirically analyse how exchange rate volatilities affect firms optimal production and exporting decisions. The firms elasticity of risk aversion determines the direction of the impact of exchange rate risk on exports. Based on a flexible utility function that incorporates all possible risk preferences, a unique structurally estimable equation is used to estimate the risk aversion elasticities for a panel of Indian service sector (non-financial) firms over 2004-2015, using the quantile regression method.

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Year of publication:	March 2017
Authors:	Broll, Udo ; Mukherjee, Soumyatanu ; Sensarma, Rudra
Publisher:	[Dresden] : Technische Universität Dresden, Faculty of Business and Economics
Subject:	Exports \| exchange rate volatility \| risk aversion \| Wechselkurs \| Exchange rate \| Volatilität \| Volatility \| Export \| Risikoaversion \| Risk aversion \| Schätzung \| Estimation \| Theorie \| Theory \| Währungsrisiko \| Exchange rate risk \| Risikopräferenz \| Risk attitude