Not Available for Download

Linear and Nonlinear Foreign Exchange Rate Exposures of German Nonfinancial Corporations

Posted: 4 Sep 2002 Last revised: 11 Mar 2014

Söhnke M. Bartram

Warwick Business School - Department of Finance

Multiple version iconThere are 2 versions of this paper

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. Available at SSRN: https://ssrn.com/abstract=327660

Söhnke M. Bartram (Contact Author)

Warwick Business School - Department of Finance ( email )

Coventry, CV4 7AL
United Kingdom
+44 (24) 7657 4168 (Phone)
+1 425 952 1070 (Fax)

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

Paper statistics

Abstract Views
926