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Sources of time-varying exchange rate exposure

Sources of time-varying exchange rate exposure
Sources of time-varying exchange rate exposure
We report evidence of a time-varying link between returns on national stock market indexes and exchange rate returns (exchange rate exposure).We use this evidence to analyze the sources of changes over time in exchange rate exposure. Using monthly data for 14 industrialized countries for the period 1975–2006, we report evidence of a cointegration relation between exchange rate exposure and the industry composition of a country’s imports, and weaker evidence of a cointegration relation between exchange rate exposure and openness to trade.
1612-4804
371-390
Pierdzioch, Christian
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, Christian
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978

Pierdzioch, Christian and Kizys, Renatas (2010) Sources of time-varying exchange rate exposure. International Economics and Economic Policy, 7 (4), 371-390. (doi:10.1007/s10368-010-0147-y).

Record type: Article

Abstract

We report evidence of a time-varying link between returns on national stock market indexes and exchange rate returns (exchange rate exposure).We use this evidence to analyze the sources of changes over time in exchange rate exposure. Using monthly data for 14 industrialized countries for the period 1975–2006, we report evidence of a cointegration relation between exchange rate exposure and the industry composition of a country’s imports, and weaker evidence of a cointegration relation between exchange rate exposure and openness to trade.

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More information

e-pub ahead of print date: 9 March 2010
Published date: December 2010

Identifiers

Local EPrints ID: 434455
URI: http://eprints.soton.ac.uk/id/eprint/434455
ISSN: 1612-4804
PURE UUID: cb07d5f1-c819-422e-b5d1-659ba34606e2
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

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Date deposited: 24 Sep 2019 16:30
Last modified: 09 Jan 2022 04:07

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Contributors

Author: Christian Pierdzioch
Author: Renatas Kizys ORCID iD

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