Eric Girardin: eric.girardin[at]univ-amu.fr
Christelle Lecourt: christelle.lecourt[at]univ-amu.fr
Jean-François Carpantier: jean-francois.carpantier[at]univ-amu.fr
We describe two channels through which macroeconomic news affects the firm’s exposure to the foreign exchange rate. A short-lived change in the exposure is caused by the revaluation effects of the macroeconomic news on the stock’s price and foreign exchange rate. A permanent change in the exposure occurs when the news alters the expectations on how the foreign exchange rate changes affect the firm’s value in the future. We identify these two effects by using intraday price data to obtain non parametric estimates for the daily foreign exchange rate exposure of the firm value of US multinationals. We find that price index announcements have an immediate, though temporary impact on the foreign exchange rate exposure. Announcements on higher-thanexpected nonfarm payroll and federal funds target interest rates lead to a permanent decrease of the foreign exchange rate exposure.