The exchange rate exposure puzzle: the long and the short of it

DOI10.1016/j.econlet.2017.08.005zbMath1396.91550OpenAlexW2743235417MaRDI QIDQ1782431

Santi Termprasertsakul, Stuart Snaith, Andrew T. A. Wood

Publication date: 20 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/20316/7/manuscript.pdf

zbMATH Keywords

economic exposureexchange rate exposurelong horizon regressionoverlapping data

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Can Exchange Rates Forecast Commodity Prices?^*
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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