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

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

Research output: Contribution to journalArticlepeer-review

15 Citations (Scopus)

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
DOIs
Publication statusPublished - 1 Jun 2019

Keywords

  • Foreign exchange exposure
  • High-frequency data
  • Macro

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