Advanced

Measuring macroeconomic exposure: The case of Volvo Cars

Oxelheim, Lars LU and Wihlborg, Clas (1995) In Journal of European Financial Management 1(3). p.241-263
Abstract
Volvo Cars' economic exposure to exchange rates and other macroeconomic variables is estimated using quarterly cash flows as the firm's target variable. We discuss first several issues relating to management's view of the macroeconomic environment, as well as the firm's objective and structure. These issues must be addressed before multiple regression analysis can be implemented with the purpose of estimating exposures. the use of cash flow exposure coefficients for evaluating exposure and choosing currency denomination of liabilities is illustrated, and an out-of-sample analysis of the estimated exposure coefficients is carried out.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
economic and cash flow corporate exposure, exchange rate risk, macroeconomic exposure management
in
Journal of European Financial Management
volume
1
issue
3
pages
241 - 263
DOI
10.1111/j.1468-036X.1995.tb00019.x
language
English
LU publication?
yes
id
4c16e270-5a4f-4731-9cd0-b3a01520f82d (old id 1514016)
date added to LUP
2009-12-30 13:00:21
date last changed
2016-04-16 11:57:35
@misc{4c16e270-5a4f-4731-9cd0-b3a01520f82d,
  abstract     = {Volvo Cars' economic exposure to exchange rates and other macroeconomic variables is estimated using quarterly cash flows as the firm's target variable. We discuss first several issues relating to management's view of the macroeconomic environment, as well as the firm's objective and structure. These issues must be addressed before multiple regression analysis can be implemented with the purpose of estimating exposures. the use of cash flow exposure coefficients for evaluating exposure and choosing currency denomination of liabilities is illustrated, and an out-of-sample analysis of the estimated exposure coefficients is carried out.},
  author       = {Oxelheim, Lars and Wihlborg, Clas},
  keyword      = {economic and cash flow corporate exposure,exchange rate risk,macroeconomic exposure management},
  language     = {eng},
  number       = {3},
  pages        = {241--263},
  series       = {Journal of European Financial Management},
  title        = {Measuring macroeconomic exposure: The case of Volvo Cars},
  url          = {http://dx.doi.org/10.1111/j.1468-036X.1995.tb00019.x},
  volume       = {1},
  year         = {1995},
}