Iyke Bernard Njindan, Ho Sin-Yu
Centre for Financial Econometrics, Deakin Business School, Deakin University.
Department of Economics, College of Economic and Management Sciences University of South Africa.
Financ Res Lett. 2021 Nov;43:102000. doi: 10.1016/j.frl.2021.102000. Epub 2021 Mar 2.
We examine the nature of exchange rate exposure before and during the COVID-19 pandemic. Using a multifactor arbitrage pricing model and daily data from South Africa, we show that, as compared with sectors, industries have been more exposed to the exchange rate risk during than before the pandemic. We further show that exchange rate exposure mostly hurts the sectors and industries, although a few sectors, such as beverages, mining, personal goods, and tobacco, and industries, such as basic materials, consumer goods, and technology, may benefit from it. Our estimates survived robustness checks.
我们研究了新冠疫情之前及期间汇率风险敞口的性质。利用多因素套利定价模型以及来自南非的日数据，我们发现，与各部门相比，各行业在疫情期间比疫情之前面临着更高的汇率风险。我们进一步表明，汇率风险敞口大多对各部门和行业造成损害，不过少数部门，如饮料、采矿、个人用品和烟草业，以及少数行业，如基础材料、消费品和科技行业，可能从中受益。我们的估计结果通过了稳健性检验。
