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A Comprehensive Approach to the Measurement of Macroeconomic Challenges and Opportunities

Oxelheim, Lars LU and Wihlborg, Clas (2004) In Risk Management,.Challenges and Opportunities 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)
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author
organization
publishing date
type
Chapter in Book/Report/Conference proceeding
publication status
published
subject
in
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
2009-04-20 12:27:27
date last changed
2016-10-13 04:48:22
@misc{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},
  editor       = {Frenkel, Michael and Hommel, Ulrich and Rudolf, Markus},
  isbn         = {978-3-540-26993-9},
  language     = {eng},
  pages        = {513--536},
  publisher    = {ARRAY(0xa13e7b0)},
  series       = {Risk Management,.Challenges and Opportunities},
  title        = {A Comprehensive Approach to the Measurement of Macroeconomic Challenges and Opportunities},
  url          = {http://dx.doi.org/10.1007/3-540-26993-2_26},
  year         = {2004},
}