The response of multinationals’ foreign exchange rate exposure to macroeconomic news

Kris Boudt, Christopher J. Neely, Piet Sercu, Marjan Wauters*

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

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Abstract

We use intraday data to estimate the daily foreign exchange exposure of U.S. multinationals and show that macroeconomic news affects these firms’ foreign exchange exposure. News creates a substantial shift in the joint distribution of stock and exchange rate returns that has both a transitory and a persistent component. For example, a positive domestic demand surprise, as reflected in higher-than-expected nonfarm payroll, increases the value of the low-exposure domestic activities and results in a persistent decrease in foreign exchange exposure.

Original languageEnglish
Pages (from-to)32-47
Number of pages16
JournalJournal of International Money and Finance
Volume94
Early online date30 Jan 2019
DOIs
Publication statusPublished - Jun 2019

Keywords

  • Foreign exchange exposure
  • High-frequency data
  • Macro

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