Pass-through and Exposure
Firms differ in the extent to which they "pass through" changes in exchange rates into foreign currency prices and in their "exposure" to exchange rates-the responsiveness of their profits to changes in exchange rates. Because pricing affects profitability, a firm's pass-through and exposure should be related. This paper develops models of exporting firms under imperfect competition to study these related phenomena. From these models we derive the optimal pass-through decisions and the resulting exchange rate exposure. The models are estimated on eight Japanese export industries using both the price data pass-through and financial data for exposure. Copyright The American Finance Association 2002.
Year of publication: |
2002
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Authors: | Bodnar, Gordon M. ; Dumas, Bernard ; Marston, Richard C. |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 57.2002, 1, p. 199-231
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Publisher: |
American Finance Association - AFA |
Saved in:
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