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Exchange rate exposure and its determinants : evidence on Hungarian firms

Tomanová, Lucie - In: European financial and accounting journal : EFAJ 9 (2014) 2, pp. 47-65

This paper analyses the foreign exchange rate exposure of Hungarian firms and its determinants on the basis of corporate cash flows and stock prices. The analysis focuses on the HUF/EUR exchange rate using monthly data from 2000 - 2014, resp. 2003 - 2012 in case of cash flow analysis. Stock...

Persistent link: https://www.econbiz.de/10011460529

Foreign exchange rate exposure of companies under dynamic regret

Entrop, Oliver; Fuchs, Fabian U. - 2020

This paper analyzes optimal hedge ratios for foreign exchange (FX) rate risk of companies. Our contribution to the literature is twofold: (i) We present a theoretical two-period regret model that allows us to analyze the determinants of the optimal hedge ratio given the outcome of past hedging...

Persistent link: https://www.econbiz.de/10012158926

Implicit currency carry trades of companies

Entrop, Oliver; Fuchs, Fabian U. - 2020

The currency carry trade (CCT) strategy - borrowing in low-interest-rate currencies and investing in high-interest-rate currencies - has been found to generate excess returns that cannot be explained by common risk factors. We argue that companies implicitly execute carry trades, when they have...

Persistent link: https://www.econbiz.de/10012158939

Exchange Rates and Firm Exports : The Role of Foreign Ownership and Subsidiaries

Choi, Hyelin - 2018

effectiveness of the exchange rates on exports appears to be weak across countries. This anomaly is one of the central puzzles in … prices, consumer prices, and quantity of exports. In this paper, we examines the role of global production linkages on ex … exports. The empirical results show that the exchange rate elasticity of total export is about -0.64, which implies that 10 …

Persistent link: https://www.econbiz.de/10012906703

Coping With the Rising Yen : Japan's Recent Export Experience

Klitgaard, Thomas - 2007

of the 1990s. Their strategies? Cutting the yen price of exports and shifting production to higher-value merchandise …

Persistent link: https://www.econbiz.de/10014225479

Time-Variation in the Exchange Rate Exposure of Swiss Firms

Kabitz, Lars - 2017

This study measures the exchange rate exposure of Swiss firms for its most relevant currencies and assesses its time-variation. I find that the firm-level exposure varies considerably over time. Differences in operational possibilities to mitigate the exposure cannot explain this variance, while...

Persistent link: https://www.econbiz.de/10012957296

Macroeconomic determinants of foreign exchange rate exposure

Fuchs, Fabian U. - 2020

This paper examines the foreign exchange rate exposures of US companies and how they are linked to foreign macroeconomic determinants. I use US trade-weighted macroeconomic indices of foreign countries to explain the variation in foreign exchange rate exposures, measured as the sensitivities of...

Persistent link: https://www.econbiz.de/10012158943

Estimating exchange rate exposure over various return horizons : focusing on major countries in East Asia

Lee, Jeong Wook; Ahn, Sunghee; Kang, Sam-mo - In: East Asian economic review 20 (2016) 4, pp. 469-491

In this paper, we estimate the exchange rate exposure, indicating the effect of exchange rate movements on firm values, for a sample of 1,400 firms in seven East Asian countries. The exposure estimates based on various exchange rate variables, return horizons and a control variable are compared....

Persistent link: https://www.econbiz.de/10011765037

Estimating systematic and partial exchange rate exposures : the case of Japanese firms

Kim, Jae H.; Kitamura, Yoshihiro - In: International journal of empirical economics 1 (2022) 1, pp. 1-31

We decompose exchange rate exposure into systematic and partial parts. The former is the product of the exposure of the market portfolio and a firm’s market beta, reflecting the risk of the exchange rate to a macroeconomy. The latter is the residual one that most previous studies have...

Persistent link: https://www.econbiz.de/10014331047

Exchange Rate Uncertainty and Export Decisions in the UK

Greenaway, David - 2009

Using data on UK manufacturing firms, we examine the effects of exchange rate uncertainty on firm decisions on export market entry and export intensity. The use of micro data and new measures of exchange rate uncertainty enable us to test for hysteresis effects in a new way and to test the...

Persistent link: https://www.econbiz.de/10013157816