Title:
Exchange rate exposure of U.S. industries

dc.contributor.advisor Kilic, Rehim
dc.contributor.author Luangnarumitchai, Jakkapan en_US
dc.contributor.committeeMember Iacopetta, Maurizio
dc.contributor.committeeMember McCarthy, Patrick
dc.contributor.department Economics en_US
dc.date.accessioned 2010-01-29T19:32:03Z
dc.date.available 2010-01-29T19:32:03Z
dc.date.issued 2009-08-25 en_US
dc.description.abstract This thesis examines exchange rate exposure of 30 U.S. industries between 1974 and 2008 using traditional and orthogonalized linear models. Similar to the literature, when using traditional linear model we find that exposure is very time dependent and often insignificant. However, we discover that orthogonalization helps uncover more evidence of industry exposure. Within the orthogonalized linear model framework, we find that exposure is statistically and economically important, and the effect of orthogonalization is more pronounced for exposure to currency indices. We also test symmetry in exchange rate exposure by subdividing the sample period into the periods of appreciations and depreciations. Interestingly, we find little evidence that exchange rate is asymmetric even if we use orthogonalized linear model. Lastly, we discover that exchange rate exposure cannot be explained by our international trade data. en_US
dc.description.degree M.S. en_US
dc.identifier.uri http://hdl.handle.net/1853/31642
dc.publisher Georgia Institute of Technology en_US
dc.subject Exchange rate exposure en_US
dc.subject.lcsh Euro
dc.subject.lcsh Yen, Japanese
dc.subject.lcsh Money
dc.subject.lcsh Orthogonalization methods
dc.subject.lcsh Foreign exchange rates
dc.title Exchange rate exposure of U.S. industries en_US
dc.type Text
dc.type.genre Thesis
dspace.entity.type Publication
local.contributor.corporatename School of Economics
local.contributor.corporatename Ivan Allen College of Liberal Arts
relation.isOrgUnitOfPublication 15802d30-e8cc-4b9a-86ef-2a59ac816e4b
relation.isOrgUnitOfPublication b1049ff1-5166-442c-9e14-ad804b064e38
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