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Exchange Rate Pegs and Foreign Exchange Exposure in East and South East Asia - page 30 / 33

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30 / 33

(1)

(2)

(3)

(4)

(5)

(6)

(7)

Hong Kong

--

3

3

3

3

.71

33

Indonesia

7

6

6

6

9

.28

100

Japan

5

4

--

4

6

.82

100

Korea

5

4

4

5

5

.20

100

Malaysia

3

3

3

3

3

.32

98

Philippines

3

3

6

3

6

.25

33

Singapore

4

4

4

4

4

.94

45

Taiwan

3

4

4

3

5

.57

100

Thailand

5

6

5

5

7

.54

100

Australia

6

5

5

5

9

.26

100

New Zealand

5

8

8

8

12

.55

40

Notes: This table summarizes 25,470 (the total number of firms times the number of draws) regressions of actual returns series on simulated exchange rate series. For each country, pseudo-exchange rate returns were generated as mean zero normal random variables with standard deviations matching the original exchange rate return series. These pseudo-returns were included in each firm-level time-series regression, and the number of coefficients statistically different from zero was recorded for each pseudo- currency. Then, new exchange rate series were drawn, and the process was repeated thirty times before proceeding to the next country. The table reports the median percent of statistically significant coefficient estimates.

Appendix Table 3: Simulated Residual Foreign Exchange Exposure

ri,t =

J 0 + J h rh,t + J w rw,t

t U S U S s $ , $ + E

t e u r o e u r o s , + E

t s , ¥ ¥ + E

t s , £ £ + E

  • +

    ui,t

0

Median R 2

  • #

    of

firms

Percent of firms rejecting: H0: ȕj=0 at the 5% level

j=

US$

¥

£

H 0 : j j E

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