Time-varying nonlinear exchange rate exposure
We develop a tractable time-varying parameter model that can be used to simultaneously study variation over time and nonlinearity in the link between stock returns and exchange rate returns (exchange rate exposure). We estimate our model using monthly data for the period 1970 to 2006 for three major industrialized countries: Japan, United Kingdom and the United States. We report evidence of nonlinear exchange rate exposure, and evidence that exchange rate exposure has significantly changed over time.
Year of publication: |
2007
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Authors: | Kizys, Renatas ; Pierdzioch, Christian |
Published in: |
Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 3.2007, 6, p. 385-389
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Publisher: |
Taylor and Francis Journals |
Saved in:
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