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    题名: Exchange Rate Exposure in the Asian Emerging Markets
    作者: Lin, Chien-Hsiu
    林建秀
    贡献者: 金融系
    关键词: Asymmetric exchange exposure;Financial crisis;Central banks’ intervention;Real exchange rate
    日期: 2011-09
    上传时间: 2014-02-17 17:47:58 (UTC+8)
    摘要: This paper investigates the impact of foreign exchange rate change on stock returns in the Asian emerging markets. The asymmetric exchange exposure framework and real exchange rates are used in this paper to capture the different exposures between currency appreciation and depreciation and the high inflation effect in the emerging markets. My empirical results show that there did exist extensive exchange rate exposure in the Asian emerging markets from 1997 to 2010. Moreover, foreign exchange exposure became more significant or greater during the 1997 Asian crisis and the 2008 global crisis periods, despite the frequent central banks’ interventions during these periods. The greater exchange exposure during the crisis periods can be attributable to net exporters or firms with dollar assets, implying that firms can reduce exchange exposures by decreasing their export ratio or dollar assets holding during times of crisis.
    關聯: Journal of Multinational Financial Management, 21(4), 224-238
    数据类型: article
    DOI 連結: http://dx.doi.org/http://dx.doi.org/10.1016/j.mulfin.2011.04.002
    DOI: 10.1016/j.mulfin.2011.04.002
    显示于类别:[金融學系] 期刊論文

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