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 language | English |
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Pages (from-to) | 32-47 |
Number of pages | 16 |
Journal | Journal of International Money and Finance |
Volume | 94 |
DOIs | |
Publication status | Published - 1 Jun 2019 |
Keywords
- Foreign exchange exposure
- High-frequency data
- Macro