Posted: 4 Sep 2002 Last revised: 11 Mar 2014
Date Written: August 19, 2010
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: 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. Available at SSRN: https://ssrn.com/abstract=327660