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Time-Varying Exchange Rate Exposure on Non-Financial Firms

Author

Listed:
  • Jaratin Lily
  • Mori Kogid
  • Debbra Toria Nipo
  • Sidah Idris
  • Imbarine Bujang

Abstract

This paper investigates whether a large non-financial firm in selected Asian frontier and emerging markets has time-varying exchange rate exposure using the interactive time dummies in the regression with a GARCH specification. The findings revealed that exchange rate exposure changes over time, particularly in Indonesia, Bangladesh, and Pakistan. Furthermore, there was a high percentage of firms were exposed during the Global Financial Crisis (GFC) period, particularly in Indonesia, the Philippines, Bangladesh, and Sri Lanka. In practice, the findings of this study benefit interested parties such as firms and governments by giving information about stylised exchange rate exposure, which can be utilised to design effective strategies for dealing with exchange rate uncertainty.

Suggested Citation

  • Jaratin Lily & Mori Kogid & Debbra Toria Nipo & Sidah Idris & Imbarine Bujang, 2023. "Time-Varying Exchange Rate Exposure on Non-Financial Firms," International Journal of Business and Management, Canadian Center of Science and Education, vol. 17(8), pages 1-6, February.
    • Handle: RePEc:ibn:ijbmjn:v:17:y:2023:i:8:p:6
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    References listed on IDEAS

    as
    1. Ye, Min & Hutson, Elaine & Muckley, Cal, 2014. "Exchange rate regimes and foreign exchange exposure: The case of emerging market firms," Emerging Markets Review, Elsevier, vol. 21(C), pages 156-182.
    2. Aggarwal, Raj & Harper, Joel T., 2010. "Foreign exchange exposure of "domestic" corporations," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1619-1636, December.
    3. Prabhath Jayasinghe & Albert K. Tsui & Zhaoyong Zhang, 2014. "Exchange Rate Exposure of Sectoral Returns and Volatilities: Further Evidence From Japanese Industrial Sectors," Pacific Economic Review, Wiley Blackwell, vol. 19(2), pages 216-236, May.
    4. Sammo Kang & Soyoung Kim & Jeong Wook Lee, 2016. "Reexamining the Exchange Rate Exposure Puzzle by Classifying Exchange Rate Risks into Two Types," Global Economic Review, Taylor & Francis Journals, vol. 45(2), pages 116-133, June.
    5. repec:cii:cepiei:2010-4tc is not listed on IDEAS
    6. Eike Berner, 2010. "Exchange rate pass-through: new evidence from German micro data," International Economics, CEPII research center, issue 124, pages 75-100.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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