Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/27956
Title: Emerging market exchange rate exposure
Authors: Chue, TK 
Cook, D
Keywords: Emerging market
Exchange rate exposure
International debt
Issue Date: 2008
Publisher: Elsevier
Source: Journal of banking and finance, 2008, v. 32, no. 7, p. 1349-1362 How to cite?
Journal: Journal of banking and finance 
Abstract: We estimate the exposure of emerging market companies to fluctuations in their domestic exchange rates. We use an instrumental-variable approach that identifies the total exposure of a company to exchange rate movements, yet abstracts from the influence of confounding macroeconomic shocks. In the sub-period of 1999-2002, we find that depreciations tend to have a negative impact on emerging market stock returns. In the sub-period of 2002-2006, this tendency has largely disappeared. Since we estimate the exchange rate exposure of firms from different countries with a common set of instruments, we can make coherent, cross-country comparisons of their determinants. We find that the impact of various measures of debt on exchange rate exposure, which is negative and significant in the early sub-period, becomes insignificant and even reverses sign in the recent sub-period.
URI: http://hdl.handle.net/10397/27956
ISSN: 0378-4266
EISSN: 1872-6372
DOI: 10.1016/j.jbankfin.2007.11.005
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