Time-varying nonlinear exchange rate exposure

Renatas Kizys, C. Pierdzioch

    Research output: Contribution to journalArticlepeer-review


    We develop a tractable time-varying parameter model that can be used to simultaneously study variation over time and nonlinearity in the link between stock returns and exchange rate returns (exchange rate exposure). We estimate our model using monthly data for the period 1970 to 2006 for three major industrialized countries: Japan, United Kingdom and the United States. We report evidence of nonlinear exchange rate exposure, and evidence that exchange rate exposure has significantly changed over time.
    Original languageEnglish
    Pages (from-to)385-389
    Number of pages5
    JournalApplied Financial Economics Letters
    Issue number6
    Publication statusPublished - 2007


    Dive into the research topics of 'Time-varying nonlinear exchange rate exposure'. Together they form a unique fingerprint.

    Cite this