Time-Varying Exchange Rate Exposure

Name: Time-Varying Exchange Rate Exposure
Brand: LAP Lambert Academic Publishing
SKU: 9783846556405
Price: 16860 HUF
Availability: InStock

Evidence from Country-Level Stock Returns

Szerző: Prabhath Jayasinghe

Nyelv:

Kötés: Puha kötésű

Kiadó: LAP Lambert Academic Publishing

Elérhetőség: Beszállítói készleten

Küldés 8-11 napon belül

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This study inquires into the time-varying behaviour of exchange rate exposure. Time-varying exchange...

Információk a könyvről

Szerző

Prabhath Jayasinghe

Nyelv

Angol

Kötés

Könyv - Puha kötésű

Kiadva

2011

oldal

EAN

9783846556405

Enbook ID

06975569

Kiadó

LAP Lambert Academic Publishing

Súly

155

Méretek

150 x 220 x 6

Teljes leírás

This study inquires into the time-varying behaviour of exchange rate exposure. Time-varying exchange rate exposure coefficients (betas) are viewed within the framework of a conditional International Capital Asset Pricing Model (ICAPM). Using the time-varying second moments of the relevant variables obtained from a trivatriate GARCH-M model, exchange rate exposure coefficients have been derived with explicit focus on the non-orthogonality between exchange rate changes and market returns. The exposure coefficients associated with bilateral exchange rates between the US dollar and currencies in eight countries are investigated. The analysis of the stochastic structure underlying the time-varying exposure coefficients reveal that they are mean-reverting and could follow a long-memory process. The presence of mean-reverting exchange rate exposure coefficients has important implications for investment and hedging strategies. Time-varying exposure betas are also used in two applications, results of which reveal that they could be a useful source of information in investment and hedging strategies.

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Time-Varying Exchange Rate Exposure

Evidence from Country-Level Stock Returns

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Teljes leírás

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Azok a vásárlók, akik ezt a könyvet megvásárolták, a következőket is megvásárolták