Exchange Rate and Interest Rate Exposure of UK Industries Using First-order Autoregressive Exponential GARCH-in-mean (EGARCH-M) Approach

Autor:	John Pointon, Ahmed A. El-Masry, Mojisola Olugbode
Rok vydání:	2013
Předmět:	Economics and Econometrics Financial economics media_common.quotation_subject Autoregressive conditional heteroskedasticity Interest rate Interest rate risk Exchange rate Interest rate parity Covered interest arbitrage Econometrics Economics Volatility (finance) Foreign exchange risk media_common
Zdroj:	The Manchester School. 82:409-464
ISSN:	1463-6786
DOI:	10.1111/manc.12029
Popis:	We examine the sensitivity of 31 UK non-financial industries to exchange and interest rate exposure from 1990 to 2006 using first-order autoregressive exponential GARCH-in-mean (EGARCH-M) model. We find that the stock returns of UK industries are more affected by long-term interest rate risk than exchange rate risk and short-term interest rate risk. Moreover, the euro introduction decreases exchange and interest rate exposure and competitive industries exhibit higher returns volatility than concentrated industries. Furthermore, for most UK industries: increased risk does not necessarily lead to an increase in returns and persistence of volatility is much higher in some industries than others.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::f9c45f244f487b7ea9861f73ec346b4d https://doi.org/10.1111/manc.12029 Zobrazit plný text záznamu Plný text