Supplementary Appendix to: The Response of Multinationals’ Foreign Exchange Rate Exposure to Macroeconomic News

3 Pages Posted: 28 Jul 2017

See all articles by Kris Boudt

Kris Boudt

Ghent University; Vrije Universiteit Brussel; Vrije Universiteit Amsterdam

Christopher J. Neely

Federal Reserve Bank of St. Louis - Research Division

Piet Sercu

FEB at KU Leuven

Marjan Wauters

Vrije Universiteit Brussel (VUB)

Date Written: July 24, 2017

Abstract

In this supplementary appendix to the paper Boudt et al. (2017) we provide additional results regarding model validation and robustness to alternative choices of estimation of the realized exposures.

Keywords: foreign exchange exposure, high-frequency data, macroeconomic news

JEL Classification: F3, G14, E3, F44

Suggested Citation

Boudt, Kris and Neely, Christopher J. and Sercu, Piet M. F. A. and Wauters, Marjan, Supplementary Appendix to: The Response of Multinationals’ Foreign Exchange Rate Exposure to Macroeconomic News (July 24, 2017). Available at SSRN: https://ssrn.com/abstract=3007716 or http://dx.doi.org/10.2139/ssrn.3007716

Kris Boudt

Ghent University ( email )

Sint-Pietersplein 5
Gent, 9000
Belgium

Vrije Universiteit Brussel ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Vrije Universiteit Amsterdam ( email )

De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Netherlands

Christopher J. Neely

Federal Reserve Bank of St. Louis - Research Division ( email )

411 Locust St
Saint Louis, MO 63011
United States
314-444-8568 (Phone)
314-444-8731 (Fax)

HOME PAGE: http://www.stls.frb.org/research/econ/cneely/

Piet M. F. A. Sercu

FEB at KU Leuven ( email )

Naamsestraat 69
Faculty of Economics and Business
Leuven, 3000
Belgium
+32 16 32 67 56 (Phone)
+32 16 32 67 32 (Fax)

Marjan Wauters (Contact Author)

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

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