Time-Varying Exchange Rate Exposure : Evidence from Country-Level Stock Returns

Language: English

Published by LAP LAMBERT Academic Publishing, 2011

3846556408 / 9783846556405

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nach der Bestellung gedruckt Neuware - Printed after ordering - This study inquires into the time-varying behaviour of exchange rate exposure. Time-varying exchange rate exposure coefficients (betas) are viewed within the framework of a conditional International Capital Asset Pricing Model (ICAPM). Using the time-varying second moments of the relevant variables obtained from a trivatriate GARCH-M model, exchange rate exposure coefficients have been derived with explicit focus on the non-orthogonality between exchange rate changes and market returns. The exposure coefficients associated with bilateral exchange rates between the US dollar and currencies in eight countries are investigated. The analysis of the stochastic structure underlying the time-varying exposure coefficients reveal that they are mean-reverting and could follow a long-memory process. The presence of mean-reverting exchange rate exposure coefficients has important implications for investment and hedging strategies. Time-varying exposure betas are also used in two applications, results of which reveal that they could be a useful source of information in investment and hedging strategies. …

Seller Inventory # 9783846556405

Title
Time-Varying Exchange Rate Exposure : Evidence from Country-Level Stock Returns
Author
Prabhath Jayasinghe
Publisher
LAP LAMBERT Academic Publishing
Publication year
2011
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3846556408
ISBN 13
9783846556405
Item weight
155 grams
Dimensions
220x150x6 mm

AHA-BUCH GmbH

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