The response of multinationals' foreign exchange rate exposure to macroeconomic news

© 2019 Elsevier Ltd We use intraday data to estimate the daily foreign exchange exposure of U.S. multinationals and show that macroeconomic news affects these firms’ foreign exchange exposure. News creates a substantial shift in the joint distribution of stock and exchange rate returns that has both a transitory and a persistent component. For example, a positive domestic demand surprise, as reflected in higher-than-expected nonfarm payroll, increases the value of the low-exposure domestic activities and results in a persistent decrease in foreign exchange exposure.

Jaar van publicatie:2019

BOF-keylabel:ja

IOF-keylabel:ja

BOF-publication weight:1

CSS-citation score:1

Auteurs:International

Authors from:Higher Education

Toegankelijkheid:Closed