A note on common methods used to estimate foreign exchange exposure

Martin, Anna D.; Mauer, Laurence Jay

doi:10.1016/j.intfin.2004.03.003

Cited by 32 publications

(25 citation statements)

References 54 publications

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“…Note that the three institutional variables are highly correlated to an extent that it would create a multicollinearity problem if we control all three simultaneously in a single model. One way to solve this problem is to use orthogonal measures (Martin and Mauer, 2005). In particular, we regress privatization on banking reform and enterprise restructuring, and enterprise restructuring on banking reform and predict the residuals from each model.…”

Section: Empirical Modelmentioning

confidence: 99%

Bank efficiency in South-Eastern Europe

Fang

Hasan

Marton

2011

Economics of Transition

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This study examines the cost and profit efficiency of banking sectors in six transition countries of South-Eastern Europe over the period 1998-2008. Using a stochastic frontier approach, our analysis reveals that the average cost efficiency of South-Eastern European banks is 68.59 percent, and the average profit efficiency is 53.87 percent. Regressions on the determinants of bank efficiency show that foreign banks are characterized by higher profit efficiency but lower cost efficiency, and government-owned banks are associated with lower profit efficiency than domestic private banks. However, the efficiency gap between foreign-, domestic private-and government-owned banks narrows over time. We also find that the market power of a bank has a positive association with both cost and profit efficiency. Institutional development, proxied by progress in banking regulatory reforms, privatization and enterprise corporate governance restructuring, also has a positive impact on bank efficiency. We are grateful to the editor (Isabel Schnabel) and two anonymous reviewers for very helpful suggestions.

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Section: Empirical Modelmentioning

confidence: 99%

Bank efficiency in South-Eastern Europe

Fang

Hasan

Marton

2011

Economics of Transition

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“…See alsoKhoo (1994),Bartov and Bodnar (1994),Allayannis (1997),Chow et al (1997),Vassalou (2000),Bodnar and Wong (2003),Bartram (2004),Bartram and Bodnar (2005),Martin and Mauer (2005), andBartram and Sohnke (2007).2 We discuss the significance of KMS and the implications of our results in more details in Section 3.3.…”

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confidence: 92%

Exchange rate risk in the US stock market

2012

Journal of International Financial Markets, Institutions and Mo

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“…Subsequently, firms are sorted into quartiles based on firm size and the percentage of foreign sales in order to investigate cross-sectional differences 3 See also Martin and Mauer (2005) for a discussion of different approaches to estimate exposure.…”

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confidence: 99%

Corporate Cash Flow and Stock Price Exposures to Foreign Exchange Rate Risk

Bartram

2007

SSRN Journal

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This paper estimates the foreign exchange rate exposure of 6,917 U.S. nonfinancial firms on the basis of stock prices and corporate cash flows. The results show that several firms are significantly exposed to at least one of the foreign exchange rates Canadian Dollar, Japanese Yen and Euro, and significant exposures are more frequent at longer horizons. The percentage of firms for which stock price and earnings exposures are significantly different is relatively low, though it increases with time horizon. Overall, the impact of exchange rate risk on stock prices and cash flows is similar and determined by a related set of economic factors. Keywords Corporate Cash Flow and Stock Price Exposures to Foreign Exchange Rate Risk AbstractThis paper estimates the foreign exchange rate exposure of 6,917 U.S. nonfinancial firms on the basis of stock prices and corporate cash flows. The results show that several firms are significantly exposed to at least one of the foreign exchange rates Canadian Dollar, Japanese Yen and Euro, and significant exposures are more frequent at longer horizons. The percentage of firms for which stock price and earnings exposures are significantly different is relatively low, though it increases with time horizon. Overall, the impact of exchange rate risk on stock prices and cash flows is similar and determined by a related set of economic factors.

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A note on common methods used to estimate foreign exchange exposure

Cited by 32 publications

References 54 publications

Bank efficiency in South-Eastern Europe

Bank efficiency in South-Eastern Europe

Exchange rate risk in the US stock market

Corporate Cash Flow and Stock Price Exposures to Foreign Exchange Rate Risk

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