Evidence for Sign Asymmetry of Exchange Rate Exposure

P. Jayasinghe
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Abstract

This paper attempts to find evidence for sign asymmetry of exchange rate exposure. An extended classification of the sources of asymmetry has been introduced in place of somewhat incomplete classification suggested by previous studies. In addition, a new measure is suggested in order to estimate the overall impact of incorporating sign asymmetry. The study results in several important findings: (a) there is evidence for the presence of sign asymmetry; (b) as it can work in either direction, it is not appropriate to make generalizations like incorporating sign asymmetry always leading to more/less exchange rate exposure; and (c) the exposure coefficients estimated by the models that do not capture sign asymmetry are likely to under/overestimate the exposure to exchange rate risk
汇率风险敞口符号不对称的证据
本文试图寻找汇率敞口符号不对称的证据。一种对不对称来源的扩展分类已被引入,以取代以前的研究提出的有些不完整的分类。此外,提出了一种新的措施,以估计纳入符号不对称的整体影响。研究结果有几个重要发现:(a)有证据表明存在符号不对称;(b)由于它可以在任何一个方向上起作用,因此不适合进行普遍化,例如将符号不对称纳入总是导致更多/更少的汇率风险;(c)未捕获符号不对称的模型估计的风险系数可能低估/高估汇率风险的风险敞口
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