Estimating Systematic and Partial Exchange Rate Exposures: The Case of Japanese Firms
Estimating Systematic and Partial Exchange Rate Exposures: The Case of Japanese Firms
复制标题
估算系统性和部分汇率风险：日本企业的案例
DOI：
10.1142/s2810943022500044
复制
发表时间：
2022
期刊：
影响因子：
--
通讯作者：
Kitamura Yoshihiro
中科院分区：
文献类型：
--
作者：
Kim Jae H.;Kitamura Yoshihiro
我们将汇率敞口分解为系统性和部分风险敞口。前者是市场投资组合风险敞口和企业市场贝塔系数的乘积，反映了汇率对宏观经济的风险。后者是大多数先前研究已经检验过的残留物。利用日本的数据，我们发现，自2000年初以来，日本企业系统性地受到汇率的影响。我们还强调，当这些公司系统性地暴露于风险敞口时，日本央行及时进行了日元抛售干预。然而，我们发现，即使大多数日本公司对汇率的敞口很大，部分敞口也可能严重低估了汇率敞口的全部程度。
We decompose exchange rate exposure into systematic and partial parts. The former is the product of the exposure of the market portfolio and a firm’s market beta, reflecting the risk of the exchange rate to a macroeconomy. The latter is the residual one that most previous studies have examined. Using Japanese data, we find that Japanese firms are systematically exposed to the exchange rate from the beginning of 2000. We also highlight the timely yen-selling intervention by the Bank of Japan when the firms are systematically exposed. However, we find that, even when most Japanese firms are significantly exposed to the exchange rate, the partial exposure can seriously underestimate the full extent of the exchange rate exposure.