Resolving the exposure puzzle: The many facets of exchange rate exposure

A-Tier
Journal: Journal of Financial Economics
Year: 2010
Volume: 95
Issue: 2
Pages: 148-173

Authors (3)

Bartram, Söhnke M. (University of Warwick) Brown, Gregory W. (not in RePEc) Minton, Bernadette A. (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Theory predicts sizeable exchange rate (FX) exposure for many firms. However, empirical research has not documented such exposures. To examine this discrepancy, we extend prior theoretical results to model a global firm's FX exposure and show empirically that firms pass through part of currency changes to customers and utilize both operational and financial hedges. For a typical sample firm, pass-through and operational hedging each reduce exposure by 10-15%. Financial hedging with foreign debt, and to a lesser extent FX derivatives, decreases exposure by about 40%. The combination of these factors reduces FX exposures to observed levels.

Technical Details

RePEc Handle
repec:eee:jfinec:v:95:y:2010:i:2:p:148-173
Journal Field
Finance
Author Count
3
Added to Database
2026-01-24