References
Adler, M. and B. Dumas (1984), “Exposure to currency risk: definition and
measurement,” Financial Management, 13, 40-50.
Akram, Q. F. (2004), “Oil prices and exchange rates: Norwegian evidence,” Econometrics Journal, 7, 476–504.
Amano, R. A. and S. V. Norden (1998), “Exchange rates and oil prices,” Review of
International Economics, 6(4), 683-694.
Amihud, Y. (1994), “Evidence on exchange rates and valuation of equity shares,” In:
Amihud, Y., Levich, R. (Eds.), Exchange Rates and Corporate Performance,
Business One Irwin, Homewood, IL, 49–59.
Andersen, T. G., T. Bollerslev, F. X. Diebold, and C. Vega (2003), “Micro effects of macro announcements: real-time price discovery in foreign exchange,” American
Economic Review, 93(1), 38-62.
Atella,V. , G.. E. Atzeni and P. L. Belvisi (2003), “Investment and exchange rate
uncertainty,” Journal of Policy Modeling , 25, 811–824.
Baldwin, R. and P. Krugman (1989), “Persistent trade effects of large exchange rate
shocks,” The Quarterly Journal of Economics, 54, 635–654.
Banz, R. W. (1981), “The relationship between returns and market value of common
stocks,” Journal of Financial Economics, 9, 3-18.
Barber, B. M. and J. D. Lyon, (1997), “Firm size, book-to-market ratio, and security
returns: a holdout sample of financial firms,” Journal of Finance, 52, 875-883.
Bartov, E. and G.M. Bodnar (1994), “Firm valuation, earnings expectations, and the
exchange rate exposure effect,” Journal of Finance, 49, 1755–1785.
Bartov, E., G. M. Bodnar and A. Kaul (1996), “Exchange rate variability and the
riskiness of U.S. multinational firms: evidence from the breakdown of the
Bretton Woods system,” Journal of Financial Economics, 42(1), 105–132.Bartram, S. (2004), “Linear and nonlinear foreign exchange rate exposure of German
nonfinancial corporations,” Journal of International Money and Finance, 23,
673–699.
Bodnar, G.M. and W.M. Gentry (1993), “Exchange rate exposure and industry
characteristics: evidence from Canada, Japan and the USA,” Journal of
International Money and Finance, 12, 29–45.
Bollerslev, T. (1986), “Generalized autoregressive conditional heteroscedasticity,”
Journal of Econometrics, 31, 307-327.
Bomhoff, E. J. and P. Korteweg (1983), “Exchange rate variability and monetary
policy under rational expectations: some Euro-American experiences 1973-79,”
Journal of Monetary Economics, 11, 169-206.
Brown, P. A., M. K. Yucel and T. John (2004), “Business cycles: the role of energy prices,” Federal Reserve Bank of Dallas Working Paper, 0304.
Camarero, M. and C. Tamarit (2002), “Oil prices and Spanish competitiveness: A
cointegrated panel analysis,” Journal of Policy Modeling, 24, 591-605.
Chan, L., Y. Hamao, and J. Lakonishok (1991), “Fundamentals and stock returns in
Japan,” Journal of Finance, 46, 1739-1764.
Chaudhuri, K. and B. C. Daniel (1998), “Long-run equilibrium real exchange rates and oil prices,” Economics Letters, 56, 231–238.
Cheng, Y. C. and P. C. Wu (2010), “Firm characteristics, exchange rate regimes and
exchange rate exposure,” The Empirical Economics Letters, 9(11).
Choi, J. J. and A. M. Prasad (1995), “Exchange risk sensitivity and its determinants:
a firm and industry analysis of U.S. multinationals,” Financial Management, 24,
77-88.
Chow, E. and H. Chen (1998), “The determinants of foreign exchange rate exposure:
evidence on Japanese firms,” Pacific-Basin Finance Journal, 6, 153–174.
Chow, E.H., W.Y. Lee and M.E. Solt (1997b), “The economic exposure of U.S.
multinational firms,” Journal of Financial Research, 20(2), 191–210.
De Jong, A., J. Ligterink and V. Macrae (2006), “A firm-specific analysis of the
exchange-rate exposure of Dutch firms,” Journal of International Financial
Management and Accounting, 17(1), 1–28.Dickey, D. and W. Fuller (1981), “Likelihood ration statistics for autoregressive time
series with a unit root,” Econometrica, 49(4), 1057-1072.
Doidge, C., J. Griffin, and R. Williamson (2000), “An international comparison of
exchange rate exposure,” Working Paper, Arizona State University.
Dominguez, K. M. E. and L. L. Tesar (2006), “Exchange rate exposure,” Journal of
International Economics, 68, 188-218.
Donnelly, R. and E. Sheehy (1996), “The share price reaction of UK exporters to
exchange rate movements: an empirical study,” Journal of International Business
Studies, 27, 157–165.
Dornbusch, R. (1980), “Exchange rate economics: where do we stand?” Brookings
Papers on Economic Activity, 1, 143-185.Drew, M. and M. Veeraraghavan (2002), “A closer look at the size and value premium
in emerging markets: evidence from the Kuala Lumpur stock exchange,” Asian
Economic Journal, 16, 337-351.
Edwards, S. (1982), “Exchange rates, market efficiency and new information,”
Economics Letters, 9, 377-382.
Ehrmann, M. and M. Fratzscher (2005), “Exchange rates and fundamentals: new
evidence from real-time data,” Journal of International Money and Finance,
24(2), 317-341.
El-Masry, A. and O. Abdel-Salam (2007), “Exchange rate exposure: do size and
foreign operations matter?” Managerial Finance, 33(9), 741-765.
Engle, R.F. and C.W.J. Granger (1987), “Co-integration and error correction:
representation, estimation and testing,” Econometrica, 55, 251–276.
Fama, E. F. and K. R. French (1992), “The cross-section of expected stock returns,”
Journal of Finance, 42, 427–465.
Fama, E. F. and K. R. French (1993), “Common risk factors in the returns on stocks
and bonds,” Journal of Financial Economics, 33, 3–56.
Fama, E. F. and K. R. French (1996), “Multifactor explanations of asset pricing
anomalies,” Journal of Finance, 51, 55–84.
Fama, E. F. and K. R. French (1998), “Value versus growth: the international
evidence,” Journal of Finance, 53, 1975–1999.
Fang, V., C.T. Lin and K. Parbhoo (2008), “Macroeconomic news, business cycles,
and Australian financial markets,” Asia Pacific Financial Markets, 15, 185-207.
Feenstra, R.C. (1989), “Symmetric pass-through of tariffs and exchange rates under
imperfect competition: an empirical test,” Journal of International Economics, 27, 25–45.
Frenkel, J. (1981), “Flexible exchange rates, prices and the role of news: lessons from
the 1970s,” Journal of Political Economy, 89(4), 665-705.
Froot, K.A., D.S. Scharfstein and J.C. Stein (1993),“Risk management: coordinating
corporate investment and financing policies,” Journal of Finance, 48(5),
1629–1658.
Galati, G. and C. Ho. (2003), “Macroeconomic news and the Euro/Dollar exchange rate,” Economic Notes, 32(3), 371-398.
Gau, Y. F. and Y. J. Shih (2002), “Changes in the exchange rate and firm valuation:
evidence from the corporations in Taiwan,” Journal of Risk Management, 4(1),19-45.
Granger, C. W. J. and T. Teräsvirta (1993), “Modeling nonlinear economic
relationships,” Oxford University Press, Oxford.
Griffin, J.M. and R. M. Stulz (2001), “International competition and exchange rate
shocks: a cross-country industry analysis of stock returns,” Review of Financial
Studies, 14, 215–241.
Hamilton, J. D. (1983), “Oil and the macroeconomy since World War II,” Journal of Political Economy, 91, 228-248.
Hamilton, J. D. (1989), “A new approach to the economic analysis of nonstationary time series and the business cycle,” Econometrica, 57, 357–384.
Hamilton, J. D. (1996), “This is what happened to the oil price-macroeconomy relationship,” Journal of Monetary Economics, 38, 215-220.
He, J. and L. Ng (1998), “The foreign exchange exposure of Japanese multinational
corporations,” Journal of Finance, 53, 733–753.
Huang, S. and F. Guo. (2007), “The role of oil price shocks on China’s real exchange rate,” China Economic Review, 18(4), 403-416.
Issa, R., R. Lafrance and J. Murray (2008), “The turning black tide: energy prices and
the Canadian dollar,” Canadian Journal of Economics, 41(3), 737-759.
Jorion, P. (1990), “The exchange rate exposure of US multinationals,” Journal of
Business, 63, 331–345.
Kanas, A. (1997), “Is economic exposure asymmetric between long-run depreciations
and appreciations? Testing using cointegration analysis,” Journal of
Multinational Financial Management, 7, 27–42.
Kanas, A. (2005), “Nonlinearity in the stock price-dividend relation,” Journal of
International Money and Finance, 24, 583–606.
Kilian, L. and M. P. Taylor (2003), “Why is it so difficult to beat the random
walkforecast of exchange rates? ” Journal of International Economics, 60,
85–107.
Kim, S. J., (1998), “Do Australian and the US macroeconomic news announcements affect the USD/AUD exchange rate? some evidence from E-GARCH estimations,” Journal of Multinational Financial Management, 8, 233–48.
Kim, S. and F. In (2002), “The influence of foreign stock markets and macroeconomic news announcements on Australian financial markets,” Pacific-Basin Finance Journal, 10, 571–582.
Kitchen, J., (1996), “Domestic and international financial market response to federal
deficit announcements,” Journal of International Money and Finance, 15,
239–254.
Kiymaz, H. (2003), “Estimation of foreign exchange exposure: an emerging market
application,” Journal of Multinational Financial Management, 13, 71–84.
Knetter, M.M. (1991), “Pricing to market in response to unobservable and observable
shocks,” Darthmouth College WP No 89–16.
Knetter, M.M. (1994), “Is export price adjustment asymmetric? Evaluating the market
share and marketing bottlenecks hypotheses,” Journal of International Money
and Finance, 13, 55–70.
Korhonen, I. and T. Juurikkala (2009), “Equilibrium exchange rates in oil-exporting countries,” Journal of Economics and Finance, 33(1), 71–79.Krause, S. (2004), “The impact of news in the dollar/deutschmark exchange rate:
evidence from the 1990’s,” Working Papers, Emory Economics, Department of
Economics, Emory University (Atlanta)
Krugman, P. (1987), “Pricing to market when the exchange rate changes,” In: Arndt,
S., Richardson, J. D. (Eds.), Real Financial Linkages among Open Economies.
MIT Press, 49–70.
Kutan, A. M. and M. L. Wyzan (2005), “Explaining the real exchange rate in Kazakhstan, 1996-2003: Is Kazakhstan vulnerable to the Dutch disease? ” Economic Systems, 29(2), 242–255.
Lin, C. F. and T. Teräsvirta (1994), “Testing the constancy of regression parameters
against continuous structural change,” Journal of Econometrics, 62, 211–228.
Lintner, J. (1965), “The valuation of risk assets and the selection of risky investments
in stock portfolio and capital budgets,” Review of Economics and Statistics, 47,
13–37.
Loughran, T. (1997), “Book-to-market across firm size, exchange, and seasonality,”
Journal of Financial and Quantitative Analysis, 32, 249–268.
Lorenz, E. N. (1963), “Deterministic nonperiodic flow,” J. Atmos. Sci., 20, 130–141.
Lyon, J., B. Barber and C. Tsai. (1999), “Improved methods for tests of long-run
abnormal stock returns,” Journal of Finance, 54, 165–201.
Malin, M. and M. Veeraraghavan (2004), “On the robustness of Fama and French
multifactor model: evidence from France, Germany and United Kingdom,”
International Journal of Business and Economics, 3, 155–176.
Marston, R. C. (1990), “Pricing to market in Japanese manufacturing,” Journal of
International Economics, 29, 217–236.
Marston, R. C. (2001), “The effects of industry structure on economic exposure,”
Journal of International Money and Finance, 20, 149–164.
Martin, A. D., J. Madura and A. Akhigbe (1999), “Economic exchange rate exposure
of U.S.-based MNCs operating in Europe,” Financial Review, 34, 21–36.
Martin, A. D. and L. J. Mauer (2003), “Exchange rate exposures of US banks: a cash
flow-based methodology,” Journal of Banking and Finance, 27(5), 851–65.
Martin, A. D. and L. J. Mauer (2005), “A note on common methods used to estimate
foreign exchange exposure,” Journal of International Financial Markets,
Institutions and Money, 15(2), 125–140.
McMillian, D.G. (2001), “Nonlinear predictability of stock market returns: evidence
from nonparametric and threshold models,” International Review of Economics
and Finance, 10, 353–368.
McQueen, G. and V. Roley (1993), “Stock prices, news, and business conditions,” Review of Financial Studies, 6(3), 683–707.
Miller, K. D. and J. J. Reuer (1998), “Firm strategy and economic exposure to
foreign exchange rate movements,” Journal of International Business Studies,
29, 493–514.
Minsky, M. and S. Papert, (1969), “Perceptions: an introduction to computational
geometry,” MIT Press, Cambridge, MA.
Muller, A. and W. Verschoor (2006), “Asymmetric foreign exchange risk exposure:
evidence from U.S. multinational firms,” Journal of Empirical Finance, 13,
495–518.
Muller, A. and W. Verschoor (2007), “Asian foreign exchange risk exposure,” Journal
of the Japanese and International Economies , 21, 16–37.
Myers, J. (1999), “Implementing residual income valuation with linear information
dynamics,” The Accounting Review, 74, 1–28.
Nance, D. R., C. W. Smith and C. Smithson (1993), “On the determinants of
corporate hedging,” Journal of Finance, 48, 391–405.
Nicholas, S. (2001), “Nonlinearities, cyclical behavior and predicatability in stock
markets: International evidence,” International Journal of Forecasting, 17,
459–482.
Nydahl, S. (1999), “Exchange rate exposure, foreign involvement, and currency
hedging of firms: some Swedish experience,” European Financial Management,
5, 241–257.
Öcal, N. and D. R. Osborn (2000), “Business cycle non-linearities in UK consumption
and production,” Journal of Applied Econometrics, 15, 27–43.
Ohno, K. (1989), “Export pricing behavior of manufacturing firms: a US–Japan
Comparison,” IMF Staff Papers, 36, 550–579.
Pearce, D. and N. Solakoglu (2007), “Macroeconomic news and exchange rates,” Journal of International Financial Markets, Institutions and Money, 17, 307–325.
Pollard, P. S. and C. C. Coughlin (2003), “Size matters: asymmetric exchange rate
pass-through at the industry level,” Working Paper. The Federal Reserve Bank of
St. Louis.
Priestley, R. and B. A. Ødegaard (2007), “Linear and nonlinear exchange rate
exposure,” Journal of International Money and Finance, 26, 1016–1037.
Ramaswami, M. (1994), “Return enhancement through size and style management,”
Blending Quantitative and Traditional Equity Analysis, 109–117.
Reinganum, M. R. (1981), “Misspecification of capital asset pricing: empirical
anomalies based on earnings yields and market values,” Journal of Financial
Economics, 9, 19–46.
Remolona, E. M., P. Kleiman and D. Gruenstein (1997), “Market returns and mutual
fund flows,” Federal Reserve Bank of New York Economic Policy Review, 3,
33–52.
Rosenberg, B., K. Reid and R. Lanstein (1985), “Persuasive evidence of market
inefficiency,” Journal of Portfolio Management, 11, pp. 9–17.
Ross, S. A. (1976), “The arbitrage theory of capita asset pricing,” Journal of
Economic Theory, 13, 341–360.
Sarantis, N. (1999), “Modeling non-linearities in real effective exchange rates, ” Journal of International Money and Finance, 18, 27–45.
Sharpe, W. F. (1964), “Capital assets prices: a theory of market equilibrium under
conditions of risk,” Journal of Finance, 19, 425–442.
Shawky, H. A. and A. Marathe (1995), “Expected stock returns and volatility in a two-regime market,” Journal of Economics and Business, 47, 409–421.
Skalin, J. and T. Teräsvirta (1999), “Another look at Swedish business cycles,
1861–1988,” Journal of Applied Econometrics, 14, 359–378.
Smith, C. W. and R. Stulz (1985), “The Determinants of Firms’ Hedging Policies,”
Journal of Financial and Quantitative Analysis, 20, 391–405.
Tan S.-H. and M. S. Habibullah (2007), “Business cycles and monetary policy asymmetry: An investigation using Markov-switching models,” Physica A:
Statistical Mechanics and its Applications , 380, 297–306.
Tanner, G. (1997), “A note on economic news and intraday exchange rate,” Journal of Banking and Finance, 21, 573–585.
Taylor, M. P. and D. A. Peel (2000), “Nonlinear adjustment long-run equilibrium and
exchange rate fundamental,” Journal of International Money and Finance, 19,
33–53.
Teräsvirta, T. and H. M. Anderson (1992), “Characterizing nonlinearities in business cycles using Smooth Transition Autoregressive Models,” Journal of Applied Econometrics, 7, 119–136.
Teräsvirta, T. (1994), “Specification, estimation and evaluation of Smooth Transition
Autoregressive Models,” Journal of the American Statistical Association, 89, 208–218.
Tong, H. (1978), “On a threshold model, in pattern recognition and signal
processing,” (ed. C. H. Chen) Amsterdan: Sijthoff & Noordhoff, 101–141.
Warther, V. A. (1995), “Aggregate mutual fund flows and security returns,” Journal
of Financial Economics, 39, 209–235.
Yan, H. and J. He (2000),”Government intervention and exchange rate exposure in
emerging markets,” manuscript, Hong Kong Chinese University.