Linear and Nonlinear Foreign Exchange Rate Exposures of German Nonfinancial Corporations

Posted: 4 Sep 2002 Last revised: 18 Dec 2019

See all articles by Söhnke M. Bartram

Söhnke M. Bartram

Warwick Business School - Department of Finance; Centre for Economic Policy Research (CEPR)

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Date Written: August 19, 2010

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.

JEL Classification: G3, F4, F3

Suggested Citation

Bartram, Söhnke M., Linear and Nonlinear Foreign Exchange Rate Exposures of German Nonfinancial Corporations (August 19, 2010). Journal of International Money and Finance, Vol. 23, No. 4, pp. 673-699, June 2004; WBS Finance Group Research Paper No. 26. Available at SSRN: https://ssrn.com/abstract=327660

Söhnke M. Bartram (Contact Author)

Warwick Business School - Department of Finance ( email )

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United Kingdom
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+1 425 952 1070 (Fax)

HOME PAGE: http://go.warwick.ac.uk/sbartram/

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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