This paper analyzes the extent of foreign exchange rate exposure in Hong Kong, Japan and Singapore in both firm level and industry level in the period of January 1996 to January 2011 by regressing the stock return of a particular industry or firm on exchange rate changes while controlling for overall stock market movements. It is found that exchange rate movements do affect firm and industry value in a manner consistent with expectation and the extract of unexpected exchange rate changes from actual exchange rate changes have little influence on the testing results of exposure. It is also proved that exchange rate regime plays an irreplaceable role in drawing the structure of exchange rate exposure of a country.

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Multinational enterprises (MNEs) are central drivers behind neo-liberal globalisation. These enterprises are usually centred in developed countries, with competitive operations in developing countries. The literature on MNEs and foreign direct investment usually focus on the motivation for investment, decisions on expansion, the structure of ownership of investment, the mode of entry, and the perception of risk. Fluctuation in the exchange rate is a source of uncertainty that affects MNEs' and other enterprises' market values. Enterprises' exposure to changes in the exchange rate has increased with the adoption of floating exchange rates and more intensive involvement in international trade. The conventional belief is that competition in the export market is positively related to a depreciation of the exchange rate, which will in turn be advantageous to the stock market, while the opposite is true for an appreciation of the exchange rate. If the contribution of import or intermediate imported inputs to the final production were quite large, an appreciation of the exchange rate will have a positive effect on input costs and the stock market. This study investigates the exchange rate exposure of multinational enterprises in South Africa to the bilateral exchange rate of the rand against the US dollar and the nominal effective exchange rate of the rand. It presents evidence on the direction and magnitude of currency exposure. From the empirical results presented in this study it can be concluded that the majority of MNEs are not significantly exposed to either one of the exchange rate changes. It has also been found that the majority of enterprises lose market value when their local currency depreciate against the US dollar, while the majority of South African enterprises are positively related to changes in the nominal effective exchange rate of the rand. MNEs that are not significantly exposed to changes in exchange rates could be subject to three possibilities. (1) The most obvious reason is that enterprises are not exposed to changes in the exchange rate. Enterprises in liberated (or •open") countries are more exposed to exchange rate movements as opposed to those in closed countries, such as the USA. (2) Enterprises could be engaged in on and off balance sheet hedging activities, which would reduce exchange rate exposures. (3) The methodology used in a study does not present the correct exposure results. / Thesis (M.Com. (Economics))--North-West University, Potchefstroom Campus, 2005.

Multinational enterprises (MNEs) are central drivers behind neo-liberal globalisation. These enterprises are usually centred in developed countries, with competitive operations in developing countries. The literature on MNEs and foreign direct investment usually focus on the motivation for investment, decisions on expansion, the structure of ownership of investment, the mode of entry, and the perception of risk. Fluctuation in the exchange rate is a source of uncertainty that affects MNEs' and other enterprises' market values. Enterprises' exposure to changes in the exchange rate has increased with the adoption of floating exchange rates and more intensive involvement in international trade. The conventional belief is that competition in the export market is positively related to a depreciation of the exchange rate, which will in turn be advantageous to the stock market, while the opposite is true for an appreciation of the exchange rate. If the contribution of import or intermediate imported inputs to the final production were quite large, an appreciation of the exchange rate will have a positive effect on input costs and the stock market. This study investigates the exchange rate exposure of multinational enterprises in South Africa to the bilateral exchange rate of the rand against the US dollar and the nominal effective exchange rate of the rand. It presents evidence on the direction and magnitude of currency exposure. From the empirical results presented in this study it can be concluded that the majority of MNEs are not significantly exposed to either one of the exchange rate changes. It has also been found that the majority of enterprises lose market value when their local currency depreciate against the US dollar, while the majority of South African enterprises are positively related to changes in the nominal effective exchange rate of the rand. MNEs that are not significantly exposed to changes in exchange rates could be subject to three possibilities. (1) The most obvious reason is that enterprises are not exposed to changes in the exchange rate. Enterprises in liberated (or •open") countries are more exposed to exchange rate movements as opposed to those in closed countries, such as the USA. (2) Enterprises could be engaged in on and off balance sheet hedging activities, which would reduce exchange rate exposures. (3) The methodology used in a study does not present the correct exposure results. / Thesis (M.Com. (Economics))--North-West University, Potchefstroom Campus, 2005.

The purpose of this study is to investigate the exchange-rate exposure of the electronic firms in Taiwan. Particularly, we consider the potential correlations between the market returns and the changes in exchange rates, which are two important variables when we examine the exchange-rate exposure, and try to examine the exchange-rate exposure via nonlinear model. In contrast to previous results which used U.S. data; however, the movements of the value of the electronic firms in Taiwan, as reflected in the stock returns, seem highly sensitive to changes in the exchange rates. Examining the effects of possible determinants on the exchange-rate exposure measured as NT dollars against US dollar, the ratio of long-term debt has significant effects, but the sign is not consistent with the hypothesis. Besides, further examining the effects of possible determinants on the exchange-rate exposure measured as NT dollars against Japan Yen, we found there are only showing weak evidence for the influence of the possible determinants.

The main focus of the paper is the problem of exchange-rate exposure of Swedish firms between Jan, 1st 2002 and Sep, 27th 2006. Defined as “a measure of the potential for a firm’s profitability, net cash flow, market value to change because of a change in exchange rates”, the problem of exchange rate exposure is investigated, making use of the “Market Value Approach” (also known as “Stock Market Ap-proach”), with certain additional extensions. With Sweden being a very open economy with strong export orientation, we expected to find a greater number of firms showing significant ex-change rate exposure to one or more of the chosen 6 bilateral exchange rates (SEK/EUR, SEK/USD, SEK/DKK, SEK/NOK, SEK/GBP and SEK/JPY). Also, companies are divided into categories with respect to their main operating activity. The empirical study finds 78% of all companies in the sample with significant exposure, with dominance of lagged effect over con-temporaneous. This percentage is higher than found in previous empirical studies, being in sup-port of the suggestion that relation exists between economy openness and exchange rate expo-sure of firms. However, the significant cross-section differences across categories and the high level of heterogeneity within categories deter us from determining the sign, direction and magni-tude of the exchange rate exposure. Suggestions are made for further studies and possible exten-sions of the topic of the present paper.

This thesis examines exchange rate exposure of 30 U.S. industries between 1974 and 2008 using traditional and orthogonalized linear models. Similar to the literature, when using traditional linear model we find that exposure is very time dependent and often insignificant. However, we discover that orthogonalization helps uncover more evidence of industry exposure. Within the orthogonalized linear model framework, we find that exposure is statistically and economically important, and the effect of orthogonalization is more pronounced for exposure to currency indices. We also test symmetry in exchange rate exposure by subdividing the sample period into the periods of appreciations and depreciations. Interestingly, we find little evidence that exchange rate is asymmetric even if we use orthogonalized linear model. Lastly, we discover that exchange rate exposure cannot be explained by our international trade data.

<p>The main focus of the paper is the problem of exchange-rate exposure of Swedish firms between Jan, 1st 2002 and Sep, 27th 2006. Defined as “a measure of the potential for a firm’s profitability, net cash flow, market value to change because of a change in exchange rates”, the problem of exchange rate exposure is investigated, making use of the “Market Value Approach” (also known as “Stock Market Ap-proach”), with certain additional extensions. With Sweden being a very open economy with strong export orientation, we expected to find a greater number of firms showing significant ex-change rate exposure to one or more of the chosen 6 bilateral exchange rates (SEK/EUR, SEK/USD, SEK/DKK, SEK/NOK, SEK/GBP and SEK/JPY). Also, companies are divided into categories with respect to their main operating activity. The empirical study finds 78% of all companies in the sample with significant exposure, with dominance of lagged effect over con-temporaneous. This percentage is higher than found in previous empirical studies, being in sup-port of the suggestion that relation exists between economy openness and exchange rate expo-sure of firms. However, the significant cross-section differences across categories and the high level of heterogeneity within categories deter us from determining the sign, direction and magni-tude of the exchange rate exposure. Suggestions are made for further studies and possible exten-sions of the topic of the present paper.</p>

Fluctuation of exchange rate has affected the increasing burden of foreign debt payment in emerging economies. This issue has negatively influenced the economic growth. It has been a severe obstacle considering that governments have to issue public debt denominated in foreign currency to finance the budget deficit. Hence, there is an urgent necessity to implement an efficient public debt management to minimize the exchange rate exposure. This thesis analyses how efficient the foreign debt portfolio management is in the 14 emerging economies under examination in the period of 1990-2013. Panel Dynamic Fixed-effect Estimator and Granger Causality approach are applied to analyze how responsive the currency composition of foreign debt portfolio to the exchange rates movement. The thesis examines the four biggest foreign debt shares that are denominated in US dollar, Euro, British pound, and Japanese yen, and the related exchange rates movement in the economies under consideration. The observation concludes that the foreign debt portfolio management in these emerging economies is not efficient or not optimal. The evidences prove that changes in the exchange rates of Euro, British pound, and Japanese yen relative to US dollar Granger cause changes in respected debt shares. It means that there is no substitution effects from the appreciation of the currencies vis-à-vis the US dollar during the year of observation.

台灣為外貿型及淺碟型經濟體，對外貿易依存度高，故國際匯率之變動對台灣企業之獲利能力影響深遠，而台灣上市櫃公司為台灣企業之縮影，外資持有國內上市櫃公司之市值平均已超過20%以上，國外資金之匯進匯出對股市之報酬亦形成重大之影響，而其匯進/出之誘因就是匯率之變動或預期變動率。本文擬就國內344家上市櫃公司獲利之代理變數個股股價報酬率之匯率暴露及其解釋或決定因子進行迴歸分析研究，發現有61%家數之公司有匯率暴露，且在新台幣實質有效匯率指數與台幣/美元不同匯率變動計算下產生不同結果，前者新台幣之升貶與企業獲利(成反比，而後者新台幣之升貶與企業獲利(或個股報酬率)成正比，前者應為企業外幣報價競爭力增加所致，而後者係國外資金流入/流出之誘因所產生之資金行情(效果)或負效果(無行情)所致。 在解釋或決定此匯率暴露之因子方面，本文嘗試以六個因子股利發放率、長期負債比率、外銷比率、速動比率、淨值市價比與公司規模來對匯率變動率之係數進行迴歸，結果各產業有不同程度之顯著性，某些因子甚至有很大之顯著性。而本文另亦進行共線性與時間落後效果測試與分析，證實前述六因子確實有一半存在彼此之共線性，而在時間落後效果上六因子亦顯示似有落後二期之效果存在。