Determinants of Foreign Exchange Risk: Some Further Evidence

Abstract

We employ the quantile regression model to examine Taiwanese companies and consider factors that researchers have identified may influence orientation divergences for robustness testing. The results indicate that the export ratio (positive influence), quick ratio (negative influence) and debt-to-equity ratio (positive influence) variables show similar influence orientations for both high and low quantile results. Further, the firm-size and book-to-market ratio variables have a positive influence in the low quantile but a negative influence in the high quantile. This pattern holds when accounting for exposure-specific characteristics such as original/absolute, positive/negative or different industry risk.

Keywords: quantile regression, influence orientation, export ratio, exposure-specific characteristic, industry risk