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

By Kris Boudt, Christopher J. Neely, Piet Secru, Marjan Wauters, working paper 2017-020. 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.

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