Exchange rate exposure: A nonparametric approach

Uluc Aysun () and Melanie Guldi

Emerging Markets Review, 2011, vol. 12, issue 4, pages 321-337

Abstract: The typical conclusion reached when researchers examine exchange rate exposure is that only a few firms are exposed. This finding is puzzling since institutional knowledge and theory suggests a larger effect. In this paper, we compare results obtained using a linear approach with those from nonlinear and nonparametric models. Among firms that don't have a linear exposure, we find that a considerable proportion of these are exposed when nonlinear or nonparametric models are used. This exposure is most striking when a nonparametric model is used. We also find that firms' hedging activities decrease linear exposure but don't affect nonparametric exposure.

Keywords: Nonparametric; Exchange rate exposure; Hedging; S&P 500; Emerging markets (search for similar items in EconPapers)
JEL-codes: E44 F31 F41 (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566014111000422
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Exchange rate exposure: A nonparametric approach (2009)
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: http://EconPapers.repec.org/RePEc:eee:ememar:v:12:y:2011:i:4:p:321-337

Access Statistics for this article

Emerging Markets Review is edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Series data maintained by Wendy Shamier ().