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Time and regime dependence of foreign exchange exposure: Working paper series--10-11

Du, Ding and Ng, Pin and Zhao, Xiaobing (2010) Time and regime dependence of foreign exchange exposure: Working paper series--10-11. Working Paper. NAU W.A. Franke College of Business.

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Abstract

In this paper, we extend Francis, Hasan, and Hunter (2008) and Stacks and Wei (2005) by simultaneously taking into account the time and the regime dependence of foreign exchange exposure in a reduced-form framework. Specifically, we use a random coefficient model and the quantile regression technique invented by Koenker and Bassett (1978) to examine the currency exposure of 30 US industry portfolios. We find that all 30 industry portfolios exhibit significant foreign exchange exposure. Therefore, our results support Francis, Hasan, and Hunter (2008) and Stacks and Wei (2005), and suggest that the methodological weakness, not hedging, explains the insignificance of currency risk in previous studies.

Item Type: Monograph (Working Paper)
Publisher’s Statement: Copyright, where appropriate, is held by the author.
ID number or DOI: 10-11
Keywords: Working paper, foreign exchange, currency exposure, currency risk, quantile regression
Subjects: H Social Sciences > HG Finance
NAU Depositing Author Academic Status: Faculty/Staff
Department/Unit: The W.A. Franke College of Business
Date Deposited: 17 Oct 2015 20:14
URI: http://openknowledge.nau.edu/id/eprint/1492

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