We estimate the time-varying co-movements of a large set of bilateral exchange rates/the RMB and explore their relationship with the firm-level exchange rate exposure in China. We find that firms’ exchange rate exposure increases in periods of high exchange rate co-movements. The co-movements...

We estimate the time-varying co-movements of large set of bilateral exchange rates/the RMB and explore their relationship with the firm-level exchange rate exposure in China. We find that firms’ exchange rate exposure increases in periods of high exchange rate co-movements. The co-movements of...