Some Methodological Issues on Estimating Foreign Exchange Exposure of US Multinational Firms: Evidence from the Asian Crisis

Sunghee Choi () and Arthur T. Denzau

Global Economic Review, 2007, vol. 36, issue 3, 217-227

Abstract: This article asks whether sample specification of firm, period, and exchange rate matters in estimating foreign exchange exposure of US multinational firms. By sampling US firms that had Asian sales and assets from 1996 to 1998, we find that the firms' returns are more likely to be significantly exposed to the Asian-oriented exchange rate changes for the Asian crisis, when the exchange rate changes were unexpectedly sizable. Also, by examining firms' exposure in the share of Asian sales and assets, we find that the firms are more exposed as their operations are more involved in the Asian region.

Keywords: Foreign exchange exposure; multinational firms; Asian crisis (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1080/12265080701561943

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