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|Title:||The degree of international trade and exchange rate exposure—Firm‐level evidence from two small open economies||Authors:||Annelies, Van Cauwenberge
|Issue Date:||2020||Publisher:||WILEY||Source:||International journal of finance and economics (Print),||Status:||Early view||Abstract:||This study investigates exchange rate exposure by comparing Dutch and Belgian listed firms at each point in time using monthly data from 2006 to 2015. Gaps in previous research are addressed by using disaggregated firm-level data to construct trade-weighted firm-specific effective exchange indices and by applying copula theory. Our findings are as follows. First, extreme events leading to non-normality of stock returns are, at least partially, caused by a firm's international trade status. Second, Dutch listed firms experience stronger exchange rate exposure since they engage more into trade outside the Eurozone than the Belgian listed firms. Third, listed importing firms experience stronger exchange rate exposure than listed exporting firms, which indicates a dual effect of exchange rate risk arising from cash flow effects in both the domestic economy and the foreign market. Overall, our proposed methodology contributes to a better understanding of the link between exchange rate changes and trade, and may therefore be of use to policy makers involved with exchange rate or monetary policy.||Notes:||Annelies, V (corresponding author), Hasselt Univ, Fac Business Econ, Martelarenlaan 42, B-3500 Hasselt, Belgium.
|Other:||Annelies, V (corresponding author), Hasselt Univ, Fac Business Econ, Martelarenlaan 42, B-3500 Hasselt, Belgium. firstname.lastname@example.org||Keywords:||Belgium;copula;exchange rate exposure;firm-specific trade-weighted exchange rate;Netherlands||Document URI:||http://hdl.handle.net/1942/32791||ISSN:||1076-9307||e-ISSN:||1099-1158||DOI:||10.1002/ijfe.2189||ISI #:||WOS:000560588800001||Rights:||2020 John Wiley & Sons Ltd||Category:||A1||Type:||Journal Contribution||Validations:||ecoom 2021|
|Appears in Collections:||Research publications|
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