Recently, the role of safe-haven currency has become increasingly remarkable: in the time of stress, uncertainty aversion drives investors to shun the risky currencies and fly for quality. The currency that serves as a safe haven also acts as the benchmark for performance measurement. In this...

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...

We extend the constant-elasticity regression that is the default choice when equities' exposure to currencies is estimated. In a proper real-option-style model for the exporters' equity exposure to the foreign exchange rate, we argue, the convexity of the relationship implies that the elasticity...