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Modeling Exchange Rate Exposure In The Japanese Industrial Sectors, P. Jayasinghe, A Tsui, Zhaoyong Zhang
Modeling Exchange Rate Exposure In The Japanese Industrial Sectors, P. Jayasinghe, A Tsui, Zhaoyong Zhang
Research outputs 2011
In recent years the volatility of exchange rate exposure and its associated risk have become a hot issue in international financial management. It is often assumed that a firm’s future operating cash flows is proxied by its market value, and the exposure coe fficient would be able to ef ficiently measure the impact of exchange rate changes on a firm’s return and its se nsitivity to the changes. Recen tly, some studies begin to investigate whether exchange rate exposure is asymmetric between currency appreciations and depreciations. By far most existing studies on exchange rate exposure assume that the variances of …
Modeling Time-Varying Currency Betas: New Evidence From The Selected Markets, P. Jayasinghe, A. Tsui, Zhaoyong Zhang
Modeling Time-Varying Currency Betas: New Evidence From The Selected Markets, P. Jayasinghe, A. Tsui, Zhaoyong Zhang
Research outputs 2011
In the past decade, studies of exchange rate exposure have mainly focused on three approaches. The first approach uses conventional methods such as sub-sampling, dummy variables, and overlapping moving window regression to capture exchange rate exposure. The second approach uses pre-specified determinants of exposure coefficients to analyze the time-variation of exchange rate exposure. For example, Allayannis (1997) suggests that currency beta is determined by export and import shares, and finds support for time-variation of exposure in some 4-digit level SIC industries. The third approach employs time-varying second moments to derive time-varying exchange rate exposure (see, for instance, Hunter, 2005; Lim, …