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 contribution
The Exchange Rate Exposure of Danish Non-Financial Companies
Original language
English
Title of host publication
Conference Proceedings
Number of pages
32
Publication year
1999
Pages
1-32
Publication status
Published - 1999
Event
The 16th A.F.F.I. Conference - Duration: 28 Jun 1999 → 30 Jun 1999