In this paper, I examine the exchange rate exposure of Hungarian enterprises from a financial stability perspective. In connection with the recent growth in FX loans to enterprises, the central bank assesses the vulnerability of the banks' loan portfolio to changes in the exchange rate. To...

Using the capital market approach and the equity price data of 14 listed Chinese banks, this empirical study finds that there is a positive relationship between bank size and foreign exchange exposure. This relationship may reflect the larger foreign exchange operations and trading positions of...

Using the capital market approach and the equity price data of 14 listed Chinese banks, this empirical study finds that there is a positive relationship between bank size and foreign exchange exposure. This relationship may reflect the larger foreign exchange operations and trading positions of...

The paper investigates the impact of foreign currency lending in the Hungarian corporate sector on real investment. Using a rich micro dataset we consider two questions. First we test whether foreign currency (FX) lending – by lowering user cost and easing liquidity constraints – contributed...

In this paper we analyze the influence of currency movements on the value of Australian firms listed on the S&P ASX 100 index for a period from 1980-2010 using daily, weekly, monthly and quarterly returns. We estimate unconditional and conditional exchange rate exposure and find a significant...

This paper aims to examine the relationship between exchange rate movements and the stock return of firms at different time horizons by employing wavelet analysis. In particular, we use the maximum overlap discrete wavelet transform (MODWT) to decompose the exchange rate movement and the US...

This paper empirically examines the firm-specific exchange rate exposure of Japanese multinational corporations (MNC). Although financial theory strongly supports that exchange rate movement should affect the value of a multinational corporation, most previous studies failed to document...

Purpose: We use a sample of 59 UK insurance companies to study the sensitivity of foreign exchange exposure, to the cash flow estimation method. This approach allows a decomposition of exposure into short- and long-term components. By revealing the nature of their cash flow exposures, companies...

Purpose – The purpose of this paper is to investigate the exchange rate exposure of UK non-financial companies from January 1981 to December 2001.Design/methodology/approach – The study employs different exchange rate measures andadopts an equally weighted exchange rate. The analyses are...

We find a robust negative effect of exchange rate volatility on S&P500 company returns. The Consumer Discretionary and the Consumer Staple sectors have more significant negative exposure to exchange rate volatility than the other sectors thus supporting the hypothesis that exchange rate...