Unconditional and conditional exchange rate exposure

Ines Chaieb and Stefano Mazzotta

Journal of International Money and Finance, 2013, vol. 32, issue C, 781-808

Abstract: We re-examine the relationship between exchange rate movements and firm value. We estimate the exchange rate exposure of U.S. firms to two currency indices. Firms are clustered into eleven industries. The sample includes exporters and non-exporters. Using a panel approach, we uncover statistically significant and sizable unconditional exposure. We also examine the dynamics of exchange rate exposure modeled as a function of business cycle indicators and firm characteristics. We find that exposure varies over time with macroeconomic and financial variables and increases during economic contractions. Deviations from the unconditional measure of exposure driven by the macroeconomic variables are economically meaningful.

Keywords: Foreign exchange rates; Exposure; Macroeconomic conditions; Business-cycle indicators (search for similar items in EconPapers)
JEL-codes: E32 F31 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:32:y:2013:i:c:p:781-808

DOI: 10.1016/j.jimonfin.2012.07.001

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