In this paper we show that inflation differentials among the countries in the European Monetary Union (EMU) are an economically significant risk to German firms, which make up the largest economy in the EMU. This risk can be interpreted as real "exchange rate exposure" resulting from trade...

Unlike prior studies on foreign exchange risk that have focused on multinational companies, this paper documents that domestic companies face significant foreign exchange exposure. Indeed, we document that on average domestic company foreign exchange exposure is not significantly different from...

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 presents a new assessment of the exposure of European firms to exchange rate fluctuations which takes into account the potential common drivers of exchange rates and equity market conditions. Using monthly data for European firms from 1999 to 2011 we assess the impact of unexpected...

The use of conventional augmented CAPM specification in estimating the exchange rate exposure may result in less reliable estimates for, at least, two reasons. First, it does not take into account a few important stylized facts associated with financial time series. Second, one cannot estimate...

We examine the effect of competition on exchange rate exposure using survey data from 55 countries. We find that exposure increases with the intensity of competition. Exposure is higher when firms face price competition in international and domestic product markets and when rivals compete using...

This paper presents a new assessment of the exposure of European firms to exchange rate fluctuations which takes into account the potential common drivers of exchange rates and equity market conditions. Using monthly data for European firms from 1999 to 2011, we assess the impact of unexpected...

In this paper we show that inflation differentials among the countries in the European Monetary Union (EMU) are an economically significant risk to German firms, which make up the largest economy in the EMU. This risk can be interpreted as real “exchange rate exposure” resulting from trade...

Globally focused firms are the drivers of foreign exchange rate (FX) risk. Among the risk of the G10 currencies, the comovements with the largest currencies are the most important of the postulated risk factors. Firms’ exposure to FX risk is time-varying, is larger with respect to the home...

This empirical study of the exchange rate exposure management of Danish non-financial firms listed on the Copenhagen Stock Exchange shows that debt denominated in foreign currency (“foreign debt”) is a very important alternative to the use of currency derivatives. The results show that the...