Dynamics of Firm-level exchange rate risk around the world: Evidence from COVID-19

Sikarwar Ekta ()
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Sikarwar Ekta: Indian Institute of Management Kozhikode

No 408, Working papers from Indian Institute of Management Kozhikode

Abstract: The objective of this study is to examine the dynamics of asymmetry and nonlinearity in firms’ exchange rate risk during crisis periods. The study investigates the exchange rate exposure of 1,577 firms across 13 industry sectors in 21 countries around the world using an extended Jorion (1990) model. The analysis covers two time periods?January 2017–November 2019 (preCOVID-19 period) and December 2019–November 2020 (COVID-19 period). The results provide evidence of a strong presence and a substantial increase in asymmetric and nonlinear exchange rate exposure of firms during the COVID-19 period.

Keywords: Exchange rate exposure; COVID-19; nonlinear; asymmetry (search for similar items in EconPapers)
Pages: 3 pages
Date: 2021-02
New Economics Papers: this item is included in nep-bec and nep-rmg
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