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Time-varying nonlinear exchange rate exposure

Time-varying nonlinear exchange rate exposure
Time-varying nonlinear exchange rate exposure
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.
1744-6546
385-389
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, Christian
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, Christian
60eb79c6-d98e-4ceb-a634-9acaf7ebc451

Kizys, Renatas and Pierdzioch, Christian (2007) Time-varying nonlinear exchange rate exposure. Applied Financial Economics Letters, 3 (6), 385-389. (doi:10.1080/17446540701262850).

Record type: Article

Abstract

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.

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Published date: 14 November 2007

Identifiers

Local EPrints ID: 434457
URI: http://eprints.soton.ac.uk/id/eprint/434457
ISSN: 1744-6546
PURE UUID: 6eb5434f-775a-4a71-b331-b03eb86ecf2b
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: Renatas Kizys ORCID iD
Author: Christian Pierdzioch

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