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

Kris Boudt, Christopher Neely, Piet Sercu and Marjan Wauters

No 2017-20, Working Papers from Federal Reserve Bank of St. Louis

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)
Pages: 25 pages
Date: 2017-07-31
New Economics Papers: this item is included in nep-mac, nep-mst and nep-opm
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: The response of multinationals’ foreign exchange rate exposure to macroeconomic news (2019)
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DOI: 10.20955/wp/2017.020

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