Sources of time-varying exchange rate exposure

Pierdzioch, Christian; Kizys, Renatas

doi:10.1007/s10368-010-0147-y

Cited by 7 publications

(6 citation statements)

References 28 publications

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“…The findings support the argument on time-varying exchange exposure by the previous studies (e.g., Al-shboul & Anwar, 2014;Parsley & Popper, 2006;Pierdzioch & Kizys, 2010). Some explanations behind the arguments include the firm's competitive position, operating structure, and hedging strategies in response to the changes in its internal and external environment (Bartram et al, 2010;Parsley & Popper, 2006;Pierdzioch & Kizys, 2010).…”

Section: Firm-specific Exposuresupporting

confidence: 87%

“…Thirdly, this study contributed to the theoretical understanding of exchange rate exposure theory by demonstrating that a firm may have stylised exchange rate exposure, such as time-varying exposure. Since changing environments may affect a firm's risk structure, including exchange rate risk exposure, it is improbable that a company's exchange rate risk stays consistent throughout time (Bartram et al, 2010;Parsley & Popper, 2006;Pierdzioch & Kizys, 2010). Thus, the findings will provide an alternative explanation for the exchange rate exposure puzzle.…”

Section: Introductionmentioning

confidence: 91%

“…The exchange rate exposure varies over time due to firms continually altering their risk structures, including their currency risk exposure to respond to the internal and external changing environment (Bartram et al, 2010;Parsley & Popper, 2006). Previous studies have shown support for time-varying exchange-rate exposure (Pierdzioch & Kizys, 2010;. However, these studies focused primarily on the issue of time-varying exposure in developed markets, leaving a gap in the literature, especially in emerging and frontier countries.…”

Section: Introductionmentioning

confidence: 99%

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Time-Varying Exchange Rate Exposure on Non-Financial Firms

Lily¹,

Kogid²,

Nipo³

et al. 2022

IJBM

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This paper investigates whether a large non-financial firm in selected Asian frontier and emerging markets has time-varying exchange rate exposure using the interactive time dummies in the regression with a GARCH specification. The findings revealed that exchange rate exposure changes over time, particularly in Indonesia, Bangladesh, and Pakistan. Furthermore, there was a high percentage of firms were exposed during the Global Financial Crisis (GFC) period, particularly in Indonesia, the Philippines, Bangladesh, and Sri Lanka. In practice, the findings of this study benefit interested parties such as firms and governments by giving information about stylised exchange rate exposure, which can be utilised to design effective strategies for dealing with exchange rate uncertainty.

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Section: Firm-specific Exposuresupporting

confidence: 87%

Section: Introductionmentioning

confidence: 91%

Section: Introductionmentioning

confidence: 99%

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Time-Varying Exchange Rate Exposure on Non-Financial Firms

Lily¹,

Kogid²,

Nipo³

et al. 2022

IJBM

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“…Entorf and Jamin (2007) proved that the impact of TS on ERE is rather unstable and time-varied. Pierdzioch and Kizys (2010) also noted that the causal relationship between TS and ERE may have time-varying changes, which depends on the ability of exporters to absorb foreign exchange losses. In this paper, the authors try to use the bootstrap sub-sample rolling-window to estimate test analyses of the link between two variables, which is much in line with policy formulating principles in the context of global economic instability.…”

Section: Literature Reviewmentioning

confidence: 99%

Does a trade surplus raise the exchange rate exposure? A perspective on Sino-US relations

Su¹,

Tao²,

Umar³

et al. 2022

Argumenta Oeconomica

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This research examines dynamic causality between trade surplus (TS) and exchange rate exposure (ERE), utilizing the bootstrap sub-sample rolling window test. The empirical findings indicate that there is the time-varying bidirectional causality in TS and ERE within certain sub-periods. Specifically, ERE manifests both positive and negative influences on TS. In turn, TS has a positive effect on ERE which proves the export-oriented model proposed by Bodnar et al. (2002). Furthermore, due to the complex changes in Sino-US trade policies during the trade war, ERE is still stimulated under the overall downward trend of TS. This means that the widening TS can inevitably increase ERE, which may cause more trade frictions with the US. By studying the time-varying relation between these two variables, investors can reasonably allocate assets according to the changes of TS and avoid losses caused by market panic. Policy-makers could restrict the abnormal flow of international capital and promote multilateral trade cooperation, especially in times of structural economic change, to reduce trade friction and maintain a relatively stable ERE level.

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“…Jorion (1990) claims that significant exchange rate effects exist only in the stock prices of multinational firms with significant foreign operations. On the other hand, co-movement between the stock and foreign exchange markets can be negative and time-varying (Bartov and Bodnar, 1994;Pierdzioch and Kizys, 2010;Inci and Lee, 2014).…”

Section: Introductionmentioning

confidence: 98%

A currency preferential approach to international equity investment

Qiu

Pinfold²,

Rose

2015

Applied Economics

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We propose a Timex strategy for reducing the foreign exchange risk associated with international equity investment, pertaining to countries with currencies correctly or undervalued by the standard of PPP. The performance of Timex is examined from the perspectives of eight developed nations with long histories of free-floating currencies. Based on the data from 1986:Q1 to 2014:Q4, we find unambiguous evidence for the superior performance of Timex in the foreign exchange market. Compared with the passive diversification strategy and the Morgan Stanley Capital International (MSCI) World index, Timex offers higher total returns and risk-adjusted total returns when rebalanced every 6 or 12 months for investors based in all eight countries under study. When rebalanced at a 3-year interval, Timex outperforms the passive diversification and the MSCI World index for five and all eight countries, respectively.

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Sources of time-varying exchange rate exposure

Abstract: Stock market returns, Exchange rate exposure, Time-varying parameter model, Cointegration analysis, F31, F37, G15,

Cited by 7 publications

References 28 publications

Time-Varying Exchange Rate Exposure on Non-Financial Firms

Time-Varying Exchange Rate Exposure on Non-Financial Firms

Does a trade surplus raise the exchange rate exposure? A perspective on Sino-US relations

A currency preferential approach to international equity investment

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