Unconditional and conditional exchange rate exposure

Chaieb, Ines; Mazzotta, Stefano

doi:10.1016/j.jimonfin.2012.07.001

Cited by 45 publications

(24 citation statements)

References 55 publications

(54 reference statements)

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“…As a result, also companies operating mainly in the domestic country can be significantly affected by the exchange rates changes. For example, Chaieb and Mazzotta (2013) found that foreign exchange rate exposure varies over time with macroeconomic and financial variables and increases during economic contractions. Similar results for emerging Asian markets was found by Lin (2011).…”

Section: Literature Reviewmentioning

confidence: 99%

Foreign exchange rate exposure of selected exporting companies from the Warsaw Stock Exchange

Drachal

2017

GBER

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Abstract:The leading Polish exporting firms were analysed in the context of a foreign exchange rate exposure. The exchange rates were selected on a criterion of the size of a trade with foreign partners. It could have been expected that for an exporter the stock return is positively linked with a change in a foreign exchange rate. The analysed sample consists of the data from the second half of 2004 to the beginning of 2015. It has been found that EUR, USD and CZK exchange rates have a negative impact, whereas GBP and RUB exchange rates have a positive impact.Keywords: currency risk; export; PLN currency; stock returns; foreign exchange rate exposure; fx exposure; Warsaw Stock Exchange; biggest Polish exporters; EUR; USD; CZK; GBP; RUB.Reference to this paper should be made as follows: Drachal, K. (2017) 'Foreign exchange rate exposure of selected exporting companies from the Warsaw Stock Exchange', Global Business and Economics Review, Vol. 19, No. 1, pp.15-37. Biographical notes:Krzysztof Drachal is a mathematics graduate with a strong professional interest in (quantitative) finance and various other aspects of financial markets. He has published over 50 papers on economics, finance and mathematics. Most of his interest lay in stock exchanges, real estate markets, energy markets and commodities. Moreover, he is also engaged in various editorial and didactic activities.

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Section: Literature Reviewmentioning

confidence: 99%

Foreign exchange rate exposure of selected exporting companies from the Warsaw Stock Exchange

Drachal

2017

GBER

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“…rate: (i) the sign of the change in the foreign exchange rate (see, e.g., Bartram, 2004, Bartram and Bodnar, 2012, Chaieb and Mazzotta, 2013, Koutmos and Martin, 2007, (ii) the squared change in the foreign exchange rate (see, e.g., Muller and Verschoor, 2006) and (iii) the 'moneyness' of the option to export, that is, the accumulated recent exchange rate changes as in Boudt et al (2015). The second group of controls consists of dummies for one-off events.…”

Section: Modelling Macro News Effects On the Foreign Exchange Exposurementioning

confidence: 99%

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

Boudt¹,

Neely²,

Sercu³

et al. 2017

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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. *Title Page (including Author names)The response of multinationals' foreign exchange rate exposure to macroeconomic newsThis version: January 13, 2019 AbstractWe 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.

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“…Nada (2017) and Daare (2017) showed that the size has a positive effect on the FXE. However, Aggarwal (2010), Chaieb (2013) and Mohapatra (2017) showed that there is a negative relation between the size and the FXE. Neverthless, other studies found that there is no significant relation between size and FXE (e.g.…”

Section: International Journal Of Accounting and Financial Reportingmentioning

confidence: 99%

The Determinants of the Foreign Exchange Exposure in the Life Insurance Companies in Egypt: An Applied Study

Nada¹,

Ibrahim

2017

ijafr

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Exchange rate fluctuations generate high risk for the insurance companies in Egypt, such as bankruptcy and liquidity. This study aims to measure the foreign exchange exposure (FXE) for the life insurance companies in Egypt during the period from 2000-2016. After that, the study measures the determinants of this exposure. The problem of the study is concerned with the fluctuations of the foreign exchange rate in Egypt, which have a great effect on the financial performance. Following prior studies (e.g. Lee, 2011 andAmpomah 2012), this study uses Jorian model to measure the FXE. The results of the study show that the life insurance companies in Egypt were significant to the FXE; the results are robust to the choice of model design.

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Unconditional and conditional exchange rate exposure

Cited by 45 publications

References 55 publications

Foreign exchange rate exposure of selected exporting companies from the Warsaw Stock Exchange

Foreign exchange rate exposure of selected exporting companies from the Warsaw Stock Exchange

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

The Determinants of the Foreign Exchange Exposure in the Life Insurance Companies in Egypt: An Applied Study

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