Sources of time-varying exchange rate exposure |
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| Authors: | Christian Pierdzioch Renatas Kizys |
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| Institution: | (1) Department of Economics, Saarland University, P.O. Box 15 11 50, 66041 Saarbruecken, Germany;(2) Departamento de Economia, Instituto Tecnologico y de Estudios Superiores de Monterrey (ITESM), C.P. 64849 Monterrey, Nuevo Leon, Mexico |
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| Abstract: | We report evidence of a time-varying link between returns on national stock market indexes and exchange rate returns (exchange
rate exposure). We use this evidence to analyze the sources of changes over time in exchange rate exposure. Using monthly
data for 14 industrialized countries for the period 1975–2006, we report evidence of a cointegration relation between exchange
rate exposure and the industry composition of a country’s imports, and weaker evidence of a cointegration relation between
exchange rate exposure and openness to trade. |
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