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Exchange rate exposure: A nonparametric approach

Uluc Aysun () and Melanie Guldi

Emerging Markets Review, 2011, vol. 12, issue 4, 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
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Working Paper: Exchange rate exposure: A nonparametric approach (2009) Downloads
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