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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Abstract

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:
/dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
ID Code:
48618
Deposited By:
Deposited On:
11 Jul 2011 21:02
Refereed?:
No
Published?:
Published
Last Modified:
05 Aug 2020 23:46