Linear and nonlinear foreign exchange rate exposures

Bartram, S (2002) Linear and nonlinear foreign exchange rate exposures. Working Paper. The Department of Accounting and Finance, Lancaster University.

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It has been viewed as an unsolved puzzle that only for a small number of firms a significant impact of foreign exchange rate risk on firm value could be detected empirically. This paper investigates whether the results of previous studies can be explained by the fact that only the linear exposure component has been estimated or that exchange rate indices were used. For a comprehensive sample of German firms, empirical evidence is presented for the existence of significant linear and nonlinear exposures, which can be identified for bilateral as well as multilateral foreign exchange rates. The percentage of foreign sales, measures of firm liquidity and industry sectors are significant determinants of the exposure.

Item Type:
Monograph (Working Paper)
Uncontrolled Keywords:
?? foreign exchange ratesexposurecorporate financerisk managementderivativesdiscipline-based research ??
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Deposited On:
11 Jul 2011 21:02
Last Modified:
22 Nov 2023 01:09