Please use this identifier to cite or link to this item:
https://scholarbank.nus.edu.sg/handle/10635/15742
DC Field | Value | |
---|---|---|
dc.title | ESSAYS ON EXCHANGE RATE EXPOSURE | |
dc.contributor.author | HAWPAGE NEVILLE PRABATH JAYASINGHE | |
dc.date.accessioned | 2010-04-08T10:56:57Z | |
dc.date.available | 2010-04-08T10:56:57Z | |
dc.date.issued | 2007-03-01 | |
dc.identifier.citation | HAWPAGE NEVILLE PRABATH JAYASINGHE (2007-03-01). ESSAYS ON EXCHANGE RATE EXPOSURE. ScholarBank@NUS Repository. | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/15742 | |
dc.description.abstract | This thesis consists of three essays with a common quest for a deeper understanding of exchange rate exposure. To this end, GARCH-type models are used to incorporate several intrinsic features of the exposure process. The first essay looks into sign and magnitude asymmetries and suggests a new measure to assess the overall impact of exchange rate changes in the presence of asymmetries. The second essay examines the adequacy of the exposure coefficient in measuring the entire impact of exchange rate changes on firmsa?? future operating cash flows. There is evidence for some elements of exposure which are not captured by the conventional measure. The third essay inquires into the time-varying behaviour of exchange rate exposure. Time-varying exposure coefficients are found to be mean-reverting and could follow a long- memory process. Overall, the findings imply that the negligence of these intrinsic features may result in under/over estimated measures of exposure. | |
dc.language.iso | en | |
dc.subject | Exchange rate exposure, Multivariate GARCH-type models, Volatility Spillovers, International CAPM, Time-varying conditional correlation | |
dc.type | Thesis | |
dc.contributor.department | ECONOMICS | |
dc.contributor.supervisor | TSUI KA CHENG, ALBERT | |
dc.contributor.supervisor | GAMINI PREMARATNE | |
dc.description.degree | Ph.D | |
dc.description.degreeconferred | DOCTOR OF PHILOSOPHY | |
dc.identifier.isiut | NOT_IN_WOS | |
Appears in Collections: | Ph.D Theses (Open) |
Show simple item record
Files in This Item:
File | Description | Size | Format | Access Settings | Version | |
---|---|---|---|---|---|---|
Thesis_HNPJayasinghe.pdf | 2.62 MB | Adobe PDF | OPEN | None | View/Download |
Google ScholarTM
Check
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.