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http://hdl.handle.net/1942/35718
Title: | Measuring and explaining firm-level exchange rate exposure: The role of foreign market destinations and international trade | Authors: | VAN CAUWENBERGE, Annelies VANCAUTEREN, Mark BRAEKERS, Roel VANDEMAELE, Sigrid |
Issue Date: | 2021 | Publisher: | Elsevier | Source: | Economic modelling, 105 (Art N° 105667) | Abstract: | How does international trade affect the exchange rate exposure of firms? Trade induces greater economic exposure to exchange rate volatility. But more diversification in trade destinations and foreign supply and demand strategies may offer financial risk reduction depending on market conditions. In this paper, we focus on the role of trade and offer an integrated analysis on measuring and explaining exchange rate exposure. Using Dutch firm-level weekly data from 2011 to 2015, we find that: (1) distinguishable communities of firms based on their exchange rate exposure exist; (2) under varying market conditions, buying from and selling to foreign and more diverse markets is a way for firms to reduce exchange rate exposure; (3) firms that hedge during market downturns experience less exchange rate exposure. Our findings provide new insights for policy makers and investors interested in exchange rate exposure (measurement and drivers). | Keywords: | Exchange rate exposure;International trade;Vine copula;Network analysis | Document URI: | http://hdl.handle.net/1942/35718 | ISSN: | 0264-9993 | e-ISSN: | 1873-6122 | DOI: | 10.1016/j.econmod.2021.105667 | ISI #: | 000710682900001 | Rights: | 2021 Published by Elsevier B.V. | Category: | A1 | Type: | Journal Contribution | Validations: | ecoom 2022 |
Appears in Collections: | Research publications |
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1-s2.0-S026499932100256X-main.pdf Restricted Access | Published version | 1.15 MB | Adobe PDF | View/Open Request a copy |
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