The Response of Multinationalsâ€™ Foreign Exchange Rate Exposure to Macroeconomic News
28 Pages Posted: 1 Aug 2017 Last revised: 13 Mar 2019
Date Written: 2017-07-31
We use intraday data to estimate the daily foreign exchange exposure of U.S. multinationals and show that macroeconomic news affects these firmsâ€™ foreign exchange exposure. News creates a substantial shift in the joint distribution of stock and exchange rate returns that has both a transitory and a persistent component. For example, a positive domestic demand surprise, as reflected in higher-than-expected nonfarm payroll, increases the value of the low-exposure domestic activities and results in a persistent decrease in foreign exchange exposure.
Keywords: Foreign exchange exposure, High-frequency data, Macro
JEL Classification: E3, F3, F44, G14
Suggested Citation: Suggested Citation