The response of multinationals’ foreign exchange rate exposure to macroeconomic news

Kris Boudt, Christopher Neely, Piet Sercu and Marjan Wauters

Journal of International Money and Finance, 2019, vol. 94, issue C, 32-47

Abstract: We use intraday data to estimate the daily foreign exchange exposure of U.S. multinationals and show that macroeconomic news affects these firms’ foreign exchange exposure. News creates a substantial shift in the joint distribution of stock and exchange rate returns that has both a transitory and a persistent component. For example, a positive domestic demand surprise, as reflected in higher-than-expected nonfarm payroll, increases the value of the low-exposure domestic activities and results in a persistent decrease in foreign exchange exposure.

Keywords: Foreign exchange exposure; High-frequency data; Macro (search for similar items in EconPapers)
JEL-codes: E3 F3 F44 G14 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (7)

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Working Paper: The response of multinationals’ foreign exchange rate exposure to macroeconomic news (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:94:y:2019:i:c:p:32-47

DOI: 10.1016/j.jimonfin.2019.01.009

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