A Comprehensive Approach to the Measurement of Macroeconomic Challenges and Opportunities
(2004) p.513-536- Abstract
- In this chapter we emphasize the importance of recognizing the interdependence among exchange rates, interest rates and inflation rates in measuring corporate exposure. First, several issues relating to management’s views of the macroeconomic environment, as well as the firm’s objective and structure will be discussed. These issues must be addressed before multiple regression analysis can be implemented with the purpose of estimating exposures. Volvo Cars is then used to illustrate how economic exposure to exchange rates and other macroeconomic variables is estimated using quarterly cashflows as the firm’s target variable. The use of cash flow exposure coefficients for evaluating exposure and choosing currency denomination of liabilities... (More)
- In this chapter we emphasize the importance of recognizing the interdependence among exchange rates, interest rates and inflation rates in measuring corporate exposure. First, several issues relating to management’s views of the macroeconomic environment, as well as the firm’s objective and structure will be discussed. These issues must be addressed before multiple regression analysis can be implemented with the purpose of estimating exposures. Volvo Cars is then used to illustrate how economic exposure to exchange rates and other macroeconomic variables is estimated using quarterly cashflows as the firm’s target variable. The use of cash flow exposure coefficients for evaluating exposure and choosing currency denomination of liabilities is discussed, and an out-of-sample analysis of the estimated exposure coefficients is carried out. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1387818
- author
- Oxelheim, Lars LU and Wihlborg, Clas
- organization
- publishing date
- 2004
- type
- Chapter in Book/Report/Conference proceeding
- publication status
- published
- subject
- host publication
- Risk Management,.Challenges and Opportunities
- editor
- Frenkel, Michael ; Hommel, Ulrich and Rudolf, Markus
- pages
- 513 - 536
- publisher
- Springer
- external identifiers
-
- scopus:77949865179
- ISBN
- 978-3-540-26993-9
- DOI
- 10.1007/3-540-26993-2_26
- language
- English
- LU publication?
- yes
- id
- 15162a99-ec08-42ae-bfe7-13effde4e443 (old id 1387818)
- date added to LUP
- 2016-04-04 11:53:12
- date last changed
- 2022-01-29 22:36:27
@inbook{15162a99-ec08-42ae-bfe7-13effde4e443, abstract = {{In this chapter we emphasize the importance of recognizing the interdependence among exchange rates, interest rates and inflation rates in measuring corporate exposure. First, several issues relating to management’s views of the macroeconomic environment, as well as the firm’s objective and structure will be discussed. These issues must be addressed before multiple regression analysis can be implemented with the purpose of estimating exposures. Volvo Cars is then used to illustrate how economic exposure to exchange rates and other macroeconomic variables is estimated using quarterly cashflows as the firm’s target variable. The use of cash flow exposure coefficients for evaluating exposure and choosing currency denomination of liabilities is discussed, and an out-of-sample analysis of the estimated exposure coefficients is carried out.}}, author = {{Oxelheim, Lars and Wihlborg, Clas}}, booktitle = {{Risk Management,.Challenges and Opportunities}}, editor = {{Frenkel, Michael and Hommel, Ulrich and Rudolf, Markus}}, isbn = {{978-3-540-26993-9}}, language = {{eng}}, pages = {{513--536}}, publisher = {{Springer}}, title = {{A Comprehensive Approach to the Measurement of Macroeconomic Challenges and Opportunities}}, url = {{http://dx.doi.org/10.1007/3-540-26993-2_26}}, doi = {{10.1007/3-540-26993-2_26}}, year = {{2004}}, }