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Time-varying nonlinear exchange rate exposure

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  • Renatas Kizys
  • C. Pierdzioch
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

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