Exchange rate exposure

• 成果类型: Article
• 署名作者: Dominguez, KME; Tesar, LL
• 署名单位: University of Michigan System; University of Michigan; National Bureau of Economic Research; University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2005.01.002
• 发表日期: 2006
• 页码: 188-218
• 关键词: Firm- and industry-level exposure; exchange rate risk; pass-through

摘要

In this paper we examine the relationship between exchange rate movements and firm value. We estimate the exchange rate exposure of publicly listed firms in a sample of eight (non-US) industrialized and emerging markets. We find that exchange rate movements do matter for a significant fraction of firms, though which firms are affected and the direction of exposure depends on the specific exchange rate and varies over time, suggesting that firms dynamically adjust their behavior in response to exchange rate risk. Exposure is correlated with firm size, multinational status, foreign sales, international assets, and competitiveness and trade at the industry level. (c) 2005 Elsevier B.V. All rights reserved.