This article analyses whether the effect of exchange rate changes on firms’ returns, known as the ‘exchange rate exposure’ of firms, varies with the nature of exchange rate movements. Using Bangladesh as a case study, we identify multiple structural breakpoints in a Bangladesh exchange rate time series from January 1999 to June 2013, which allows us to divide the whole period into multiple sub-periods. By estimating the exchange rate exposure of non-financial Bangladeshi firms for each sub-period, we find that most firms are significantly exposed in the sub-period spanning May 2011 to June 2013, when movements in the exchange rate between the Bangladeshi taka and the US dollar are unprecedentedly turbulent. This finding is consistent when trade-weighted exchange rates are used. Our results suggest that corporate investors and policymakers in Bangladesh need to be aware of firms’ exchange rate risk when the taka–dollar exchange rate, as the primary indicator, moves significantly away from the previous patterns.

中文翻译：

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汇率变动的性质和汇率风险：孟加拉国案例

本文分析了汇率变动对企业回报的影响，即企业的“汇率敞口”，是否随汇率变动的性质而变化。以孟加拉国为例，我们在 1999 年 1 月至 2013 年 6 月的孟加拉国汇率时间序列中确定了多个结构性断点，这使我们能够将整个时期划分为多个子时期。通过估计每个子时期非金融孟加拉公司的汇率敞口，我们发现大多数公司在 2011 年 5 月至 2013 年 6 月的子时期内受到显着敞口，当时孟加拉国塔卡和美元空前动荡。当使用贸易加权汇率时，这一发现是一致的。