EconPapers    
Economics at your fingertips  
 

A Re-Examination of Exchange Rate Exposure

Kathryn Dominguez and Linda Tesar ()

No 8128, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Finance theory suggests that changes in exchange rates should have little influence on asset prices in a world that has become increasingly with integrated capital markets. Indeed, the existing literature examining the relationship between international stock prices and exchange rates finds little evidence of systematic exchange rate exposure. We argue in this paper that the absence of evidence may be due to restrictions imposed on the sample of data and the empirical specifications used in previous studies. We study a broad sample of firms in eight countries over an eighteen-year period. We find that firm-level and industry-level share values are significantly influenced by exchange rates. Further, we do not find evidence that exchange rate exposure is falling (or becoming less statistically significant) over time. Our results suggest that significant firm, industry and country-specific differences remain even as financial markets become more and more 'integrated'.

JEL-codes: F23 F31 (search for similar items in EconPapers)
Date: 2001-02
Note: IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (56) Track citations by RSS feed

Published as "A Re-Examination of Exchange Rate Exposure", American Economic Review, Vol. 91, No. 2, Papers and Proceedings, pp. 396-399, May 2001

Downloads: (external link)
http://www.nber.org/papers/w8128.pdf (application/pdf)

Related works:
Journal Article: A Reexamination of Exchange-Rate Exposure (2001) Downloads
Working Paper: A Re-Examination of Exchange Rate Exposure (2001) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:8128

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w8128

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-11-21
Handle: RePEc:nbr:nberwo:8128