Understanding Brazilian companies' foreign exchange exposure

Jose Rossi

Emerging Markets Review, 2012, vol. 13, issue 3, 352-365

Abstract: The paper analyzes the exchange rate exposure of a sample of non-financial Brazilian companies from 1999 to 2009. The results confirm the importance of using nonlinear models to address companies' exchange rate exposure. The results indicate that when compared to the linear model commonly used in literature, the nonlinear model leads to an increase in the number of firms exposed to exchange rate fluctuations, which allows a more accurate analysis of the impact of exchange rate fluctuations on the value of firms. In addition, the paper shows that exporters and companies that hold foreign currency denominated debt are more likely to be exposed to exchange rate fluctuations and that the nonlinearity of companies' foreign exchange exposure is associated with the use of foreign currency derivatives.

Keywords: Exchange rate exposure; Linearities; Exchange rate (search for similar items in EconPapers)
JEL-codes: F23 F31 G32 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:13:y:2012:i:3:p:352-365

DOI: 10.1016/j.ememar.2012.03.007

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