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- Title
Empirical measurement of exchange rate betas.
- Authors
Madura, Jeff
- Abstract
The article illustrates how the to apply the beta concept in measuring exchange rate risk as it examines seven foreign currencies, including British pound, Canadian dollar, Dutch guilder, Swiss franc, German mark, French franc and Japanese yen. The author points out that uncovered investment in foreign securities necessitates consideration of exchange rate risk. Furthermore, he also notes that by regressing different currencies against the movement of a market-basket of currencies in terms of the dollar, calculating betas for each currency is made possible. He also believes that the betas drawn from the study may serve as valuable information for future international cash management decisions.
- Subjects
FOREIGN exchange rates; MONETARY policy; NATIONAL currencies; POUND sterling; CANADIAN dollar; SWISS franc; MARK (German currency); FRANC (French currency); JAPANESE yen; CASH management
- Publication
Journal of Portfolio Management, 1983, Vol 9, Issue 4, p43
- ISSN
0095-4918
- Publication type
Article
- DOI
10.3905/jpm.1983.408930