Exchange Rate Exposure and its Determinants: Evidence on Hungarian Firms

Lucie Tomanová

European Financial and Accounting Journal, 2014, vol. 2014, issue 2, 47-65

Abstract: 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 prices exposure analysis showed that significant number of these firms is exposed: 18.4 % of publicly listed companies were significantly exposed in period 2007 - 2014 which is significantly higher than in previous period. According to the cash flow analysis results, 34 % of firms are exposed, whilst 45.3 % of small firms are significantly exposed. The measuring of exchange rate risk and hedging is therefore crucial for reduction of the firms' uncertainty. Cross-sectional analysis suggests that the turnover and foreign sales are also important determinants of firms' exchange rate exposure.

Keywords: Cash flow; Exchange rate exposure; Stock prices (search for similar items in EconPapers)
JEL-codes: C31 C32 F31 G32 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.18267/j.efaj.119

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