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The exchange rate exposure puzzle: The long and the short of it

Snaith, S and Termprasertsakul, S and Wood, A (2017) 'The exchange rate exposure puzzle: The long and the short of it.' Economics Letters, 159. 204 - 207. ISSN 0165-1765

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Abstract

The exchange rate exposure puzzle has remained robust to empirical scrutiny however evidence suggests the puzzle abates when longer horizons are considered. This paper applies inference that is appropriate in a long horizon setting and finds this evidence is illusory.

Item Type: Article
Uncontrolled Keywords: Exchange rate exposure, Economic exposure, Long horizon regression, Overlapping data
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Elements
Date Deposited: 16 Oct 2017 13:00
Last Modified: 10 Feb 2019 02:00
URI: http://repository.essex.ac.uk/id/eprint/20316

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