Effect of Central Bank Intervention in Estimating Exchange Rate Exposure: Evidence from an Emerging Market:
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18,117 citations
"Effect of Central Bank Intervention..." refers methods in this paper
...Autocorrelation and heteroskedasticity are eliminated by correcting the OLS standard errors using Newey and West (1987) method....
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8,216 citations
"Effect of Central Bank Intervention..." refers background in this paper
...equations have the same regressors, single equation-by-equation OLSs is the efficient estimator (Greene, 2002)....
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...When all equations have the same regressors, single equation-by-equation OLSs is the efficient estimator (Greene, 2002)....
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7,647 citations
6,373 citations
"Effect of Central Bank Intervention..." refers background in this paper
...For monthly data, the lag length of 12 should be appropriate (Enders, 2009)....
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1,143 citations
"Effect of Central Bank Intervention..." refers background or methods or result in this paper
...The standard market model of Jorion (1990) used in this study to estimate the exposure does not include firm-specific controls which might be a possible alternative for future research....
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...Examining exposure to the trade-weighted exchange rate index is a standard practice followed in literature (Bodnar & Gentry, 1993; Choi & Prasad, 1995; Dominguez & Tesar, 2006; Jorion, 1990)....
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...While some studies report strong evidence of exposure (Bacha, Mohamad, Raihan, & Mohd, 2013; Kiymaz, 2003; Parsley & Popper, 2006; Tsai, Chiang, Tsai, & Liou, 2014; Ye, Hutson, & Muckley, 2014), a large number of studies reveal that only a small number of firms are significantly affected by exchange rate changes (Chue & Cook, 2008; Jorion, 1990; Lin, 2011; Muller & Verschoor, 2007)....
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...In spite of this definition, most previous literature has used actual or realised changes in exchange rates as a proxy for unanticipated currency movements in estimating the exposure (Dominguez & Tesar, 2006; He & Ng, 1998; Hutson & Laing, 2014; Hutson & Stevenson, 2010; Jorion, 1990)....
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...Most studies are focused on US multinational firms and report a small number of firms with significant exposure (Amihud, 1994; Bartov & Bodnar, 1994; Chaieb & Mazzotta, 2013; Chang, Hsin, & Shiah-Hou, 2013; Hutson & Laing, 2014; Jorion, 1990)....
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