The exchange rate exposure puzzle: the long and the short of it

Stuart Snaith*, Santi Termprasertsakul, Andrew Wood

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

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    Abstract

    The exchange rate exposure puzzle has remained robust to empirical scrutiny however evidence suggests the puzzle abates when longer horizons are considered. This paper applies inference that is appropriate in a long horizon setting and finds this evidence is illusory.

    Original languageEnglish
    Pages (from-to)204-207
    Number of pages4
    JournalEconomics Letters
    Volume159
    Early online date10 Aug 2017
    DOIs
    Publication statusPublished - 1 Oct 2017

    Keywords

    • economic exposure
    • exchange rate exposure
    • long horizon regression
    • overlapping data

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