Working Paper

The response of multinationals’ foreign exchange rate exposure to macroeconomic news


Abstract: We use intraday data to estimate the daily foreign exchange exposure of U.S. multinationals and show that macroeconomic news affects these firms? foreign exchange exposure. News creates a substantial shift in the joint distribution of stock and exchange rate returns that has both a transitory and a persistent component. For example, a positive domestic demand surprise, as reflected in higher-than-expected nonfarm payroll, increases the value of the low-exposure domestic activities and results in a persistent decrease in foreign exchange exposure.

Keywords: Foreign exchange exposure; High-frequency data; Macro;

JEL Classification: E3; F3; F44; G14;

https://doi.org/10.20955/wp/2017.020

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Bibliographic Information

Provider: Federal Reserve Bank of St. Louis

Part of Series: Working Papers

Publication Date: 2019-01-13

Number: 2017-20