Time Varying Exchange Rate Exposure and Hedging: Impact of Global Financial Crisis

Sikarwar, Ekta (2016) Time Varying Exchange Rate Exposure and Hedging: Impact of Global Financial Crisis. T A Pai Management Institute, Manipal.

TWP135_1617-Ekta-Sikarwar-Time varying exchange rate exposure.pdf

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This paper aims to develop understanding of the time varying relationship between exchange rate changes and the value of the firm. For this purpose, the paper examines the firm-level exchange rate exposure and its determinants for a sample of 651 Indian firms in the environment of recent global financial crisis of 2008. Using a two-factor arbitrage pricing theory model, the evidences presented in the paper suggest that firms are more exposed to the exchange rate changes in terms of prevalence and magnitude after the onset of the financial crisis. However, there is a lack of evidence that hedging is more effective in reducing exposure during the crisis/post-crisis period as opposed to the pre-crisis period. The study has important implications for firms indicating that managers should devise more effective risk management activities during crisis period.

Item Type: TAPMI Working Papers
Uncontrolled Keywords: Exchange rate exposure, financial crisis, India, Time-varying
Subjects: Finance
Finance > Financial Management/Corporate Finance
Divisions: Finance and Strategy
Depositing User: Ms. Vanitha K
Date Deposited: 27 Sep 2018 04:26
Last Modified: 17 Oct 2018 10:59
URI: http://tapmi.informaticsglobal.com/id/eprint/157

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