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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