Asymmetric exchange rate exposure: theory and evidence

被引：85

作者：

Koutmos, G ^{[1
]}

Martin, AD ^{[1
]}

机构：

[1] Fairfield Univ, Dept Finance, Charles F Dolan Sch Business, Fairfield, CT 06430 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2003年 / 22卷 / 03期

关键词：

exchange rate exposure; asymmetric exposure; conditional heteroskedasticity;

D O I：

10.1016/S0261-5606(03)00012-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper tests the hypothesis that exchange rate exposure is asymmetric over appreciation-depreciation cycles. More specifically, it investigates whether returns on nine sector indexes across four major countries are asymmetrically affected by exchange rate movements. The results show that in several instances exposure is asymmetric. Asymmetries are found to be more pronounced in the financial and non-cyclical sectors. Possible theoretical explanations are provided regarding the particular type of exposure found across sectors and countries. (C) 2003 Elsevier Science Ltd. All rights reserved.

引用

页码：365 / 383

页数：19

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