Nonlinear Foreign Exchange Exposure: Evidence from Brazilian Companies

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dc.contributor.authorRossi Júnior, José Luiz
dc.coverage.cidadeSão Paulopt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorRossi Júnior, José Luiz
dc.date.accessioned2023-07-14T15:43:52Z
dc.date.available2023-07-14T15:43:52Z
dc.date.issued2009
dc.description.abstractThe paper analyzes the exchange rate exposure of a sample of non-financial Brazilian companies from 1999 to 2009 using a smooth transition autoregressive model (STAR). The results confirm the importance of using nonlinear models to address companies’ exchange rate exposure. The results indicate that when compared to the linear model commonly used in literature, the nonlinear model leads to an increase in the number of firms exposed to exchange rate fluctuations, which allows a more accurate analysis of the impact of exchange rate fluctuations on the value of firms.
dc.description.otherThe paper analyzes the exchange rate exposure of a sample of non-financial Brazilian companies from 1999 to 2009 using a smooth transition autoregressive model (STAR). The results confirm the importance of using nonlinear models to address companies’ exchange rate exposure. The results indicate that when compared to the linear model commonly used in literature, the nonlinear model leads to an increase in the number of firms exposed to exchange rate fluctuations, which allows a more accurate analysis of the impact of exchange rate fluctuations on the value of firms.pt_BR
dc.format.extent10 p.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.issueBEWP 070/2009
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5783
dc.language.isoInglêspt_BR
dc.publisherInsperpt_BR
dc.publisherIBMEC São Paulopt_BR
dc.relation.ispartofseriesInsper Working Paperpt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsExchange rate exposurept_BR
dc.subject.keywordsLinearitiespt_BR
dc.subject.keywordsExchange ratept_BR
dc.titleNonlinear Foreign Exchange Exposure: Evidence from Brazilian Companiespt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR

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