The unconditional and conditional exchange rate exposure of U.S. firms

Ines Chaieb and Stefano Mazzotta

No 11-15, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We re-examine the relationship between exchange rate movements and firm value. We estimate the exchange rate exposure of publicly listed U.S. firms clustered into eleven industries. 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; firm characteristics; business-cycle (search for similar items in EconPapers)
JEL-codes: E32 F31 (search for similar items in EconPapers)
Date: 2011-01
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1115

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