No Puzzle: The Foreign Exchange Exposure of Australian Firms
|Author(s):||Dirk G Baur and Isaac Miyakawa|
|Date of publication:||August 2012|
|Working paper number:||168|
In this paper we analyze the inﬂuence of currency movements on the value of Australian firms listed on the S&P/ASX 100 index for a period from 1980 - 2010 using daily, weekly, monthly and quarterly returns. The study estimates unconditional and conditional, time-varying and asymmetric, exchange rate exposure. We ﬁnd a strong cross-sectional dispersion of excess exposure coeﬃcients around a weakly positive average exposure. Also, the strength of the FX exposure increases from daily to quarterly sample frequencies and across time. We argue that the weak positive exposure of ﬁrms on average is consistent with the Australian dollar being a commodity currency and with theoretical predictions.
|Paper:||Download (Format: PDF, Size: 442 Kb)|
|Comments:||Published as: Baur, D. G. and Miyakawa, I., 2014, "No Puzzle: The Foreign Exchange Exposure of Australian Firms", International Review of Financial Analysis, 32, 13-22.|
|Known citations:||Qui, M., Pinfold, J. F. and Rose, L. C., 2015, "A Currency Preferential Approach to International Equity Investment", Applied Economics, forthcoming.|