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A Comprehensive Approach to the Measurement of Macroeconomic Challenges and Opportunities

  • Michael Frenkel
  • Ulrich Hommel
  • Markus Rudolf
Publiceringsår: 2004
Språk: Engelska
Sidor: 513-536
Publikation/Tidskrift/Serie: Risk Management,.Challenges and Opportunities
Dokumenttyp: Del av eller Kapitel i bok
Förlag: Springer


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.


  • Economics and Business


  • ISBN: 978-3-540-26993-9

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