Обложка Time-Varying Exchange Rate Exposure
Название книги:

Time-Varying Exchange Rate Exposure

Evidence from Country-Level Stock Returns

LAP LAMBERT Academic Publishing (2011-11-23 )

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ISBN-13:

978-3-8465-5640-5

ISBN-10:
3846556408
EAN:
9783846556405
Язык Книги:
Английский
Краткое описание:
This study inquires into the time-varying behaviour of exchange rate exposure. Time-varying exchange rate exposure coefficients (betas) are viewed within the framework of a conditional International Capital Asset Pricing Model (ICAPM). Using the time-varying second moments of the relevant variables obtained from a trivatriate GARCH-M model, exchange rate exposure coefficients have been derived with explicit focus on the non-orthogonality between exchange rate changes and market returns. The exposure coefficients associated with bilateral exchange rates between the US dollar and currencies in eight countries are investigated. The analysis of the stochastic structure underlying the time-varying exposure coefficients reveal that they are mean-reverting and could follow a long-memory process. The presence of mean-reverting exchange rate exposure coefficients has important implications for investment and hedging strategies. Time-varying exposure betas are also used in two applications, results of which reveal that they could be a useful source of information in investment and hedging strategies.
Издательский Дом:
LAP LAMBERT Academic Publishing
Веб-сайт:
https://www.lap-publishing.com/
By (author) :
Prabhath Jayasinghe
Количество страниц:
92
Опубликовано:
2011-11-23
Акции:
В наличии
Категория:
Экономика
Цена:
49.00 €
Ключевые слова:
Time-varying exchange rate exposure, Multivariate GARCH-M models, International CAPM, Fractionally-integrated processes, Stochastic Dominance

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