Webbläsaren som du använder stöds inte av denna webbplats. Alla versioner av Internet Explorer stöds inte längre, av oss eller Microsoft (läs mer här: * https://www.microsoft.com/en-us/microsoft-365/windows/end-of-ie-support).

Var god och använd en modern webbläsare för att ta del av denna webbplats, som t.ex. nyaste versioner av Edge, Chrome, Firefox eller Safari osv.

The Impact of Currency Movements on Asset Value Correlations

Författare

Summary, in English

This paper looks at the asset correlation bias resulting from firms’

assets and liabilities being denominated in different currencies. It

focuses on the time-variation in the bias and on the dependency of

the bias on currency movements. Overall, we find that the asset

correlation bias for the average pair of firms in the Dow Jones

Industrial Average index is significant. The bias fluctuates widely,

however, and it has turned negative for shorter periods. The policy

implication of the paper is that by ignoring the exchange rate component when computing portfolio credit risk one may materially

underestimate the actual risk.

Publiceringsår

2014

Språk

Engelska

Sidor

178-186

Publikation/Tidskrift/Serie

Journal of International Financial Markets, Institutions, and Money

Volym

31

Dokumenttyp

Artikel i tidskrift

Förlag

North-Holland

Ämne

  • Economics

Nyckelord

  • Asset correlation
  • Time-variation
  • Currency risk
  • Sensitivity
  • Exchange rate

Status

Published

ISBN/ISSN/Övrigt

  • ISSN: 1042-4431