Journal of Intrernational Money and Finance
Опубликовано на портале: 30-01-2003Richard Marston Journal of Intrernational Money and Finance. 2001. Vol. 20. No. 2. P. 149-164.
Foreign exchange exposure refers to the sensitivity of a firms cash flows to changes in exchange rates. This study develops a model of foreign exchange exposure dependent on only three variables, the percentage of the firms revenues and expenses denominated in foreign currency and its profit rate. Exposure is estimated for a sample of 103 U.S. firms that participated in the 1998 Wharton/CIBC Survey of Risk Management by U.S. Non-Financial Firms. The study finds that foreign exchange exposure is quite low for a majority of firms in the sample because these firms have been able to match their foreign currency revenues and costs leaving them with little net exposure. Such operational hedges may help to explain why previous studies have found low or negligible levels of exposure when they studied the sensitivity of share prices to foreign exchange rates.
Опубликовано на портале: 11-10-2004Warren B. Bailey Journal of Intrernational Money and Finance. 1990. Vol. 9. No. 3. P. 344-356.
This paper documents variation across Pacific Rim countries in the response of equity values to US M1 announcement suprises. We relate the difference across countries to measures of capital mobility, export trade with the USA, foreign exchange and money market arrangements, and correlation with the US stock market. We find that The response to US M1 suprises is best explained by the country's degree of integration with international capital markets. The flexibility of the exchange rate and interest rates may also be significant. While the evidence is supportive of the 'anticipated Fed reaction' theory of the effect of money announcement suprises, the differing response ro M1 shocks across Fed policy regimes remains unexplained.