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Exchange rate movements and firm value : evidence from European firms across the financial crisis period

Mozumder, Nurul; De Vita, Glauco; Larkin, Charles; … - In: Journal of economic studies 42 (2015) 4, pp. 561-577

Persistent link: https://www.econbiz.de/10011348969

Debt buildup and currency vulnerability : evidence from global markets

Park, Donghyun; Ramayandi, Arief; Tian, Shu - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 7, pp. 2017-2035

Persistent link: https://www.econbiz.de/10013190249

Foreign exchange predictability during the financial crisis : implications for carry trade profitability

Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015

In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

Persistent link: https://www.econbiz.de/10011313235

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Chang, Chia-Lin - 2010

Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan, comprising a high proportion of world tourist arrivals to Taiwan, are Japan and USA, which are sources of short and long haul tourism, respectively. As it is well...

Persistent link: https://www.econbiz.de/10013147805

Currency exposure, second-moment exchange rate exposure and asymmetric volatility of stock returns : the effects of financial crises on Taiwanese firms

Varga, René Ferenc Franck - In: Journal of applied finance & banking 3 (2013) 2, pp. 15-37

- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate … fluctuation, (ii) the time-varying exchange rate exposure following the 1997 Asian financial turmoil and the global financial … decreases dramatically after, the exposure level is much larger. The two crises affect also the asymmetric profile of the firms …

Persistent link: https://www.econbiz.de/10009743539

Attention to the tail(s) : global financial conditions and exchange rate risks

Eguren-Martin, Fernando; Sokol, Andrej - 2019

Persistent link: https://www.econbiz.de/10012202393

Attention to the tail(s) : global financial conditions and exchange rate risks

Eguren-Martin, Fernando; Sokol, Andrej - 2020

We document how the distribution of exchange rate returns responds to changes in global financial conditions. We measure global financial conditions as the common component of country-specific financial condition indices, computed consistently across a large panel of developed and emerging...