- Product Description
This study inquires into the time-varying behaviour of exchange rate exposure. Time-varying exchange rate exposure coefficients (betas) are viewed within the framework of a conditional International Capital Asset Pricing Model (ICAPM). Using the time-varying second moments of the relevant variables obtained from a trivatriate GARCH-M model, exchange rate exposure coefficients have been derived with explicit focus on the non-orthogonality between exchange rate changes and market returns. The exposure coefficients associated with bilateral exchange rates between the US dollar and currencies in eight countries are investigated. The analysis of the stochastic structure underlying the time-varying exposure coefficients reveal that they are mean-reverting and could follow a long-memory process. The presence of mean-reverting exchange rate exposure coefficients has important implications for investment and hedging strategies. Time-varying exposure betas are also used in two applications, results of which reveal that they could be a useful source of information in investment and hedging strategies.
|Number of Pages||92|
|Country of Manufacture||India|
|Product Brand||LAP LAMBERT Academic Publishing|
|Product Packaging Info||Box|
|In The Box||1 Piece|
|Product First Available On ClickOnCare.com||2015-07-08 00:00:00|