Industry-level exchange risk exposure of US multinationals: evidence from the Mexican and Asian financial crises
by Sunghee Choi
International Journal of Monetary Economics and Finance (IJMEF), Vol. 6, No. 4, 2013

Abstract: This paper examines the industry-level exchange risk exposure of US multinationals during the 1994 Mexican Peso crisis and the 1997 Asian crisis. To do so, this paper constructs two individual data sets: the Asian data set containing US firms with Asian operations for the Asian crisis and the Mexican data set of the firms with Mexican operations for the Mexican crisis. It is found that industry-level exchange exposure of both data sets tends to be more significantly estimated during the crises rather than before the crises. In addition, regarding exchange rate changes type, the exposures of the Asian data set tend to be more significantly estimated with the simple exchange rate changes based on the random-walk assumption whereas the exposures of the Mexican data set tend to be more significantly estimated with the GARCH(1,1)-processed standard deviations of exchange rate.

Online publication date: Fri, 21-Mar-2014

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Monetary Economics and Finance (IJMEF):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com