Sources of time-varying exchange rate exposure

C. Pierdzioch; Renatas Kizys

doi:10.1007/s10368-010-0147-y

Sources of time-varying exchange rate exposure

C. Pierdzioch, Renatas Kizys

Research output: Contribution to journal › Article › peer-review

Abstract

We report evidence of a time-varying link between returns on national stock market indexes and exchange rate returns (exchange rate exposure).We use this evidence to analyze the sources of changes over time in exchange rate exposure. Using monthly data for 14 industrialized countries for the period 1975–2006, we report evidence of a cointegration relation between exchange rate exposure and the industry composition of a country’s imports, and weaker evidence of a cointegration relation between exchange rate exposure and openness to trade.

Original language	English
Pages (from-to)	371-390
Number of pages	20
Journal	International Economics and Economic Policy
Volume	7
Issue number	4
DOIs	https://doi.org/10.1007/s10368-010-0147-y
Publication status	Published - 2010

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title = "Sources of time-varying exchange rate exposure",

abstract = "We report evidence of a time-varying link between returns on national stock market indexes and exchange rate returns (exchange rate exposure).We use this evidence to analyze the sources of changes over time in exchange rate exposure. Using monthly data for 14 industrialized countries for the period 1975–2006, we report evidence of a cointegration relation between exchange rate exposure and the industry composition of a country{\textquoteright}s imports, and weaker evidence of a cointegration relation between exchange rate exposure and openness to trade.",

author = "C. Pierdzioch and Renatas Kizys",

year = "2010",

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AU - Pierdzioch, C.

AU - Kizys, Renatas

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N2 - We report evidence of a time-varying link between returns on national stock market indexes and exchange rate returns (exchange rate exposure).We use this evidence to analyze the sources of changes over time in exchange rate exposure. Using monthly data for 14 industrialized countries for the period 1975–2006, we report evidence of a cointegration relation between exchange rate exposure and the industry composition of a country’s imports, and weaker evidence of a cointegration relation between exchange rate exposure and openness to trade.

AB - We report evidence of a time-varying link between returns on national stock market indexes and exchange rate returns (exchange rate exposure).We use this evidence to analyze the sources of changes over time in exchange rate exposure. Using monthly data for 14 industrialized countries for the period 1975–2006, we report evidence of a cointegration relation between exchange rate exposure and the industry composition of a country’s imports, and weaker evidence of a cointegration relation between exchange rate exposure and openness to trade.

U2 - 10.1007/s10368-010-0147-y

DO - 10.1007/s10368-010-0147-y

M3 - Article

SN - 1612-4804

VL - 7

SP - 371

EP - 390

JO - International Economics and Economic Policy

JF - International Economics and Economic Policy

IS - 4

ER -

Sources of time-varying exchange rate exposure

Abstract

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