Resolving the exposure puzzle: The many facets of exchange rate exposure

• 成果类型: Article
• 署名作者: Bartram, Soehnke M.; Brown, Gregory W.; Minton, Bernadette A.
• 署名单位: Lancaster University; University of North Carolina; University of North Carolina Chapel Hill; University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2009.09.002
• 发表日期: 2010
• 页码: 148-173
• 关键词: competition; hedging; FX exposure; derivatives; International finance

摘要

Theory predicts sizeable exchange rate (FX) exposure for many firms. However, empirical research has not documented such exposures, To examine this discrepancy, we extend prior theoretical results to model a global firm's FX exposure and show empirically that firms pass through part of currency changes to customers and utilize both operational and financial hedges. For a typical sample firm, pass-through and operational hedging each reduce exposure by 10-15%. Financial hedging with foreign debt, and to a lesser extent FX derivatives, decreases exposure by about 40%. The combination of these factors reduces FX exposures to observed levels. (C) 2009 Elsevier B.V. All rights reserved.