{"title":"时变非线性汇率暴露","authors":"Renatas Kizys, Christian Pierdzioch","doi":"10.1080/17446540701262850","DOIUrl":null,"url":null,"abstract":"We develop a tractable time-varying parameter model that can be used to simultaneously study variation over time and nonlinearity in the link between stock returns and exchange rate returns (exchange rate exposure). We estimate our model using monthly data for the period 1970 to 2006 for three major industrialized countries: Japan, United Kingdom and the United States. We report evidence of nonlinear exchange rate exposure, and evidence that exchange rate exposure has significantly changed over time.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"23 6","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2007-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"Time-varying nonlinear exchange rate exposure\",\"authors\":\"Renatas Kizys, Christian Pierdzioch\",\"doi\":\"10.1080/17446540701262850\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We develop a tractable time-varying parameter model that can be used to simultaneously study variation over time and nonlinearity in the link between stock returns and exchange rate returns (exchange rate exposure). We estimate our model using monthly data for the period 1970 to 2006 for three major industrialized countries: Japan, United Kingdom and the United States. We report evidence of nonlinear exchange rate exposure, and evidence that exchange rate exposure has significantly changed over time.\",\"PeriodicalId\":345744,\"journal\":{\"name\":\"Applied Financial Economics Letters\",\"volume\":\"23 6\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2007-11-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Applied Financial Economics Letters\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/17446540701262850\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Financial Economics Letters","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/17446540701262850","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
We develop a tractable time-varying parameter model that can be used to simultaneously study variation over time and nonlinearity in the link between stock returns and exchange rate returns (exchange rate exposure). We estimate our model using monthly data for the period 1970 to 2006 for three major industrialized countries: Japan, United Kingdom and the United States. We report evidence of nonlinear exchange rate exposure, and evidence that exchange rate exposure has significantly changed over time.
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