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The exchange rate exposure puzzle: The long and the short of it

Stuart Snaith (), Santi Termprasertsakul and Andrew Wood ()

Economics Letters, 2017, vol. 159, issue C, 204-207

Abstract: The exchange rate exposure puzzle has remained robust to empirical scrutiny however evidence suggests the puzzle abates when longer horizons are considered. This paper applies inference that is appropriate in a long horizon setting and finds this evidence is illusory.

Keywords: Exchange rate exposure; Economic exposure; Long horizon regression; Overlapping data (search for similar items in EconPapers)
JEL-codes: C13 C22 F23 F31 (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:eee:ecolet:v:159:y:2017:i:c:p:204-207