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The unconditional and conditional exchange rate exposure of U.S. firms

Author

Listed:
  • Ines CHAIEB

    (University of Geneva and Swiss Finance Institute)

  • Stefano MAZZOTTA

    (Kennesaw State University)

Abstract

We re-examine the relationship between exchange rate movements and firm value. We estimate the exchange rate exposure of publicly listed U.S. firms clustered into eleven industries. Using a panel approach, we uncover statistically significant and sizable unconditional exposure. We also examine the dynamics of exchange rate exposure modeled as a function of business cycle indicators and firm characteristics. We find that exposure varies over time with macroeconomic and financial variables and increases during economic contractions. Deviations from the unconditional measure of exposure driven by the macroeconomic variables are economically meaningful.

Suggested Citation

  • Ines CHAIEB & Stefano MAZZOTTA, 2011. "The unconditional and conditional exchange rate exposure of U.S. firms," Swiss Finance Institute Research Paper Series 11-15, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp1115
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    More about this item

    Keywords

    Foreign exchange rates; exposure; macroeconomic conditions; firm characteristics; business-cycle;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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