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The Exchange Rate Exposure of Danish Non-Financial Companies

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A shortcut to measuring exchange rate exposure at the company level can be to exploit the information content in the stock prices. A regression analysis is conducted for the main Danish non-financial companies. The use of one all-comprising exchange rate indicator fails to address the complexity of the extra-market exchange rate exposure of individual companies. As such, only a minority of companies has significant exposures when using the effective Danish exchange rate in an OLS regression analysis while half of the companies have significant exposures when using five main exchange rates. A GARCH(1,1) regression analysis is shown to further improve the detection of exposures. The success in identifying exposures for Danish non-financial companies is in contrast to earlier US studies and is relevant in a European context.
Translated title of the contributionThe Exchange Rate Exposure of Danish Non-Financial Companies
Original languageEnglish
Title of host publicationConference Proceedings
Number of pages32
Publication year1999
Publication statusPublished - 1999
EventThe 16th A.F.F.I. Conference -
Duration: 28 Jun 199930 Jun 1999


ConferenceThe 16th A.F.F.I. Conference

    Research areas

  • Operating Exposure, Exchange Rates, Extra-Market Exposure, GARCH, HHÅ forskning

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