Linear and Nonlinear Foreign Exchange Rate Exposures of German Nonfinancial Corporations

41 Pages Posted: 27 Jun 2002

See all articles by Söhnke M. Bartram

Söhnke M. Bartram

University of Warwick; Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

Date Written: February 16, 2002

Abstract

It has been viewed as an unsolved puzzle that only for a small number of firms a significant impact of foreign exchange rate risk on firm value could be detected empirically. This paper investigates whether the results of previous studies can be explained by the fact that only the linear exposure component has been estimated or that exchange rate indices were used. For a comprehensive sample of German firms, empirical evidence is presented for the existence of significant linear and nonlinear exposures, which can be identified for bilateral as well as multilateral foreign exchange rates. The percentage of foreign sales, measures of firm liquidity and industry sectors are significant determinants of the exposure.

JEL Classification: G3, F4, F3

Suggested Citation

Bartram, Söhnke M., Linear and Nonlinear Foreign Exchange Rate Exposures of German Nonfinancial Corporations (February 16, 2002). WBS Finance Group Research Paper No. 25, Available at SSRN: https://ssrn.com/abstract=317102 or http://dx.doi.org/10.2139/ssrn.317102

Söhnke M. Bartram (Contact Author)

University of Warwick ( email )

Warwick Business School
Finance Group
Coventry, CV4 7AL
United Kingdom
+44 (24) 7657 4168 (Phone)
+1 425 952 1070 (Fax)

HOME PAGE: http://go.warwick.ac.uk/sbartram/

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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