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A Comprehensive Approach to the Measurement of Macroeconomic Challenges and Opportunities

In English

Författare

  • Lars Oxelheim
  • Clas Wihlborg

Redaktör

  • Michael Frenkel
  • Ulrich Hommel
  • Markus Rudolf

Summary, in English

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.

Publiceringsår

2004

Språk

Engelska

Sidor

513-536

Publikation/Tidskrift/Serie

Risk Management,.Challenges and Opportunities

Dokumenttyp

Del av eller Kapitel i bok

Förlag

Springer

Ämne

  • Economics and Business

Status

Published

ISBN/ISSN/Övrigt

  • ISBN: 978-3-540-26993-9