The Unconditional and Conditional Exchange Rate Exposure of U.S. Firms

52 Pages Posted: 2 Apr 2011  

Ines Chaieb

University of Geneva - Geneva Finance Research Institute (GFRI); Swiss Finance Institute

Stefano Mazzotta

Kennesaw State University - Michael J. Coles College of Business

Multiple version iconThere are 2 versions of this paper

Date Written: December 20, 2010

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.

Keywords: Foreign exchange rates, exposure, macroeconomic conditions, firm characteristics, business-cycle indicators

JEL Classification: F31, E32

Suggested Citation

Chaieb, Ines and Mazzotta, Stefano, The Unconditional and Conditional Exchange Rate Exposure of U.S. Firms (December 20, 2010). Swiss Finance Institute Research Paper No. 11-15. Available at SSRN: https://ssrn.com/abstract=1800069 or http://dx.doi.org/10.2139/ssrn.1800069

Ines Chaieb (Contact Author)

University of Geneva - Geneva Finance Research Institute (GFRI) ( email )

40 Boulevard du Pont d'Arve
Geneva 4, 1211
Switzerland
+41223798568 (Phone)

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Stefano Mazzotta

Kennesaw State University - Michael J. Coles College of Business ( email )

560 Parliament Garden Way
Kennesaw, GA 30144
United States
(470) 578-6341 (Phone)
(470) 578-9022 (Fax)

HOME PAGE: http://www.mazzotta.info

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