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

Stuart Snaith; Santi Termprasertsakul; Andrew Wood

doi:10.1016/j.econlet.2017.08.005

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 journal › Article › peer-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 language	English
Pages (from-to)	204-207
Number of pages	4
Journal	Economics Letters
Volume	159
Early online date	10 Aug 2017
DOIs	https://doi.org/10.1016/j.econlet.2017.08.005
Publication status	Published - 1 Oct 2017

Keywords

economic exposure
exchange rate exposure
long horizon regression
overlapping data

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10.1016/j.econlet.2017.08.005

WOODa_2017_cright_EL_The exchange rate exposure puzzle - The long and the short of itAccepted author manuscript (Post-print), 206 KBLicence: CC BY-NC-ND

http://repository.essex.ac.uk/20316/

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title = "The exchange rate exposure puzzle: the long and the short of it",

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.",

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author = "Stuart Snaith and Santi Termprasertsakul and Andrew Wood",

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N2 - 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.

AB - 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.

KW - economic exposure

KW - exchange rate exposure

KW - long horizon regression

KW - overlapping data

UR - https://www.scopus.com/pages/publications/85028551604

U2 - 10.1016/j.econlet.2017.08.005

DO - 10.1016/j.econlet.2017.08.005

M3 - Article

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SN - 0165-1765

VL - 159

SP - 204

EP - 207

JO - Economics Letters

JF - Economics Letters

ER -

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

Abstract

Keywords

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