No Puzzle: The Foreign Exchange Exposure of Australian Firms

Dirk Baur () and Isaac Miyakawa
Additional contact information
Isaac Miyakawa: Finance Discipline Group, UTS Business School, University of Technology, Sydney, http://www.uts.edu.au/about/uts-business-school/finance

No 168, Working Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: In this paper we analyze the influence of currency movements on the value of Australian firms listed on the S&P/ASX 100 index for a period from 1980 - 2010 using daily, weekly, monthly and quarterly returns. The study estimates unconditional and conditional, time-varying and asymmetric, exchange rate exposure. We find a strong cross-sectional dispersion of excess exposure coefficients around a weakly positive average exposure. Also, the strength of the FX exposure increases from daily to quarterly sample frequencies and across time. We argue that the weak positive exposure of firms on average is consistent with the Australian dollar being a commodity currency and with theoretical predictions.

Keywords: exchange rate risk; excess exposure; totoal exposure; pass-through (search for similar items in EconPapers)
JEL-codes: F23 F31 G15 (search for similar items in EconPapers)
Pages: 31
Date: 2012-08-01
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.finance.uts.edu.au/research/wpapers/wp168.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.finance.uts.edu.au:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uts:wpaper:168

Access Statistics for this paper

More papers in Working Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().