Exchange rate exposures of US banks: A cash flow-based methodology

Journal of Banking and Finance

Volumn 27, Issue 5, 2003, Pages 851-865

  Martin, Anna D ^a   Mauer, Laurence J ^b  

^a FAIRFIELD UNIVERSITY   (United States)

^b ST JOHN'S UNIVERSITY   (United States)

Author keywords

Currency exposure; Domestic exposure; Economies of scale; Exchange rate exposure; US Banks

Indexed keywords

EID: 0037404211     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(02)00253-4     Document Type: Article

References (33)

1. Akaike, H., 1973. Information theory and the extension of the maximum likelihood principle. In: Petrov, B.N., Csaki, F. (Eds.), Second International Symposium on Information Theory, Budapest
2. Almon S. The distributed lag between capital appropriations and expenditures Econometrica 1965 178-196
3. Bartov E. Bodnar G.M. Firm valuation, earnings expectations and the exchange-rate exposure effect Journal of Finance 49 1994 1755-1785
4. Bowen R.M. Borgstahler D. Daley L.A. The incremental information content of accruals versus cash flows The Accounting Review 62 1987 723-747
5. Brown L.D. Earnings forecasting research: Its implications for capital market research International Journal of Forecasting 1993 295-320
6. Chamberlain S. Howe J.S. Popper H. The exchange rate exposure of US and Japanese banking institutions Journal of Banking and Finance 21 1997 871-892
7. Choi J.J. A model of firm valuation with exchange exposure Journal of International Business Studies 1986 153-160
8. Choi J.J. Elyasiani E. Derivatives exposure and the interest rate and exchange rate risks of US banks Journal of Financial Services Research 12 1997 267-286
9. Choi J.J. Elyasiani E. Kopecky K.J. The sensitivity of bank stock returns to market, interest, and exchange rate risks Journal of Banking and Finance 16 1992 983-1004
10. Choi J.J. Prasad A.M. Exchange risk sensitivity and its determinants: A firm and industry analysis of US multinationals Financial Management 24 1995 77-88
11. Chow E.H. Lee W.Y. Solt M.E. The exchange-rate risk exposure of asset returns Journal of Business 70 1997 105-123
12. Chow E.H. Lee W.Y. Solt M.E. The economic exposure of US multinational firms Journal of Financial Research 20 1997 191-210
13. Crouhy M. Galai D. Mark R. A comparative analysis of currency credit risk models Journal of Banking and Finance 24 2000 59-117
14. Dickey D.A. Fuller W.A. Distribution of the estimators for autoregressive time series with a unit root Journal of the American Statistical Association 74 1979 427-431
15. Eiteman D.K. Stonehill A.I. Moffett M.H. Multinational Business Finance eighth ed. 1998 Addison Wesley Longman, Reading, MA.
16. Elyasiani, E., Mansur, I., 1999. International spillover of risk and return among major banking institutions: A GARCH model. Working paper
17. Eng M. Lees F. Mauer L. Global Finance second ed. 1998 Addison Wesley Longman, Reading MA.
18. Engle R.F. Granger C.W.J. Co-integration and error correction: Representation, estimation, and testing Econometrica 55 1987 251 276
19. Geczy C. Minton B.A. Schrand C. Why firms use currency derivatives Journal of Finance 52 1997 1323-1354
20. Hendricks D. Hirtle B. Bank capital requirements for market risk: The internal models approach Federal Reserve Bank of New York Economic Policy Review 1997 1-12
21. Hodder J.E. Exposure to exchange-rate movements Journal of International Economics 13 1982 375-386
22. Jacque L.L. Management of foreign exchange risk: A review article Journal of International Business Studies 1981 81-101
23. Jorion P. The exchange-rate exposure of US multinationals Journal of Business 63 1990 331-345
24. Kane E.J. Unal H. Change in market assessments of deposit institution riskiness Journal of Financial Services Research 1 1988 207-229
25. Lessard D.R. Lightstone J.B. Volatile exchange rates can put operations at risk Harvard Business Review 64 1986 107-114
26. Madura J. International financial management sixth ed. 2000 South-Western
27. Madura J. Zarruk E. Bank exposure to interest rate risk: A global perspective Journal of Financial Research 18 1995 1-13
28. Martin A.D. Madura J. Akhigbe A. Economic exchange rate exposure of US-based MNCs operating in Europe Financial Review 34 1999 21-36
29. Mian S.L. Evidence on corporate hedging policy Journal of Financial and Quantitative Analysis 31 1996 419-439
30. Pringle J.J. Managing foreign exchange exposure Journal of Applied Corporate Finance 4 1991 73-82
31. Walsh E.J. Operating income, exchange rate changes, and the value of the firm: An empirical analysis Journal of Accounting, Auditing, and Finance 9 1994 703-724
32. Wentz R.C. Towards a general foreign exchange risk consciousness Columbia Journal of World Business 1979 127-135
33. Wetmore J.L. Brick J.R. Commercial bank risk: Market, interest rate, and foreign exchange Journal of Financial Research 17 1994 585-596