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首页> 外文学位 >Foreign exchange risk exposure of Canadian domestic, exporting and multinational firms: Market and industry effects on bilateral and multilateral exchange rates.
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Foreign exchange risk exposure of Canadian domestic, exporting and multinational firms: Market and industry effects on bilateral and multilateral exchange rates.

机译：加拿大国内，出口和跨国公司的外汇风险敞口：市场和行业对双边和多边汇率的影响。

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摘要

The failure of most previous research to support the widely accepted hypothesis of an existing relationship between exchange rate movements and stock returns is primarily attributed to research design drawbacks. In the present study we address the research design problem from a relatively new perspective, suggesting changes to the market index variable and to the exchange rate variable.; We use monthly stock returns for the 1971–1999 period to estimate overall exchange rate exposure of Canadian domestic and exporting companies to trade weighted multilateral exchange rates and to the Canada-U.S. bilateral exchange rate. The results show no significant exposure of the domestic firms sample, suggesting indirect exposure may be limited. However significant exposure effects are found for the exporting sample. In general, these results do not suggest that there are any benefits from using the more (theoretically) appealing industry specific exchange rates and the purely domestic index in studying the exposure to the multilateral exchange rates. Yet benefits from using the purely domestic index do exist when studying the exposure to the Canada-U.S. bilateral exchange rate.; We also examine the determinants of currency exposure for a set of Canadian multinational corporations. To this end we decompose our companies' exposure into a foreign sales variable, a foreign production variable, and a market concentration variable. All coefficients have the expected signs, although only foreign sales and foreign production are found to be significant. These results are contingent on the exchange rate proxy used—specifically significance is found only when industry specific rates are employed. In light of this result we hypothesize the existence of an industry effect . This industry effect captures industry specific trade flows components (foreign sales and foreign production).
机译：先前的大多数研究未能支持汇率变动与股票收益之间存在的关系这一广为接受的假设，这主要归因于研究设计的缺陷。在本研究中，我们从一个相对较新的角度解决研究设计问题，建议对市场指数变量和汇率变量进行更改。我们使用1971-1999年期间的月度股票收益率来估算加拿大国内和出口公司对贸易加权多边汇率（italic）和加拿大-美国双边贸易公司的总体汇率敞口（italic）。汇率。结果显示国内公司样本没有显着暴露，表明间接暴露可能受到限制。然而，对于出口样品发现了显着的暴露影响。总的来说，这些结果并不表明使用（理论上）更具吸引力的特定行业汇率和纯粹的国内指数来研究多边汇率敞口是没有任何好处的。然而，在研究加拿大-美国双边汇率的敞口时，确实存在使用纯国内指数的好处。我们还研究了一组加拿大跨国公司的货币敞口决定因素。为此，我们将公司的敞口分解为国外销售变量，国外生产变量和市场集中度变量。尽管发现只有国外销售和国外生产很重要，但所有系数都有预期的迹象。这些结果取决于所使用的汇率代理-仅在采用行业特定汇率时才能发现特定意义。根据此结果，我们假设存在行业效应。这种产业效应捕获了特定于行业的贸易流组成部分（外国销售和国外生产）。

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  • 作者

    Jeddi, Mourad Mokhtar.;

  • 作者单位

    Concordia University (Canada).;

  • 授予单位 Concordia University (Canada).;
  • 学科 Economics Finance.
  • 学位 M.Sc.
  • 年度 2001
  • 页码 72 p.
  • 总页数 72
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 财政、金融;
  • 关键词

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