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Linear and nonlinear foreign exchange rate exposures of German nonfinancial corporations

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Bartram, Söhnke M. (2004) Linear and nonlinear foreign exchange rate exposures of German nonfinancial corporations. Journal of International Money and Finance, 23 (4). pp. 673-699. doi:10.1016/j.jimonfin.2004.03.002 ISSN 0261-5606.

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Abstract

This paper investigates whether the low significance of the impact of foreign exchange rate risk on firm value reported in previous studies can be explained by the fact that only the linear exposure component has been estimated or that exchange rate indices were used. For a comprehensive sample of German firms, empirical evidence is presented for the existence of significant linear and nonlinear exposures, which can be identified for bilateral as well as multilateral foreign exchange rates. The percentage of foreign sales, measures of firm liquidity and industry sectors are significant determinants of the exposure.

Item Type: Journal Article
Divisions: Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Journal of International Money and Finance
Publisher: Elsevier BV
ISSN: 0261-5606
Official Date: 2004
Dates:
DateEvent
2004Published
Volume: 23
Number: 4
Page Range: pp. 673-699
DOI: 10.1016/j.jimonfin.2004.03.002
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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