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Table 3B. Second stage estimates involving the average exposure coefficients Turan Erol et al. Exchange Rate Exposure of Real Sector Firms in an Emerging Economy. Journal of Finance and Accounting, 2013, Vol. 1, No. 1, 1-12. doi:10.12691/jfa-1-1-1 © The Author(s) 2013. Published by Science and Education Publishing. Coefficients on CategoryInteraction termMarket portfolioCommon statistics A. Foreign sale High 1 X R s : 7.66 (5.02) 2 X R s : 0.11 (1.76) 3 X R s : -4.60 (2.08) 4 X R s : -0.33 (0.22) 5 X R s : 15.6 (3.11) 1.16 (27.4) R -2 : 0.54; SER: 0.38; DW: 1.99 F: 86 (p: 0.0); SSR: 42; OBS: 330 Low 1 X R s : 12.75 (3.93) 2 X R s : 0.04 (0.75) 3 X R s : -6.19 (2.41) 4 X R s : -2.27 (2.40) 5 X R s : -4.32 (0.88) 1.10 (23.5) R -2 : 0.62; SER: 0.46; DW: 2.23 F: 85 (p: 0.0); SSR: 17; OBS: 242 B. Competition High 1 X R s : 9.85 (6.10) 2 X R s : 0.07 (2.04) 3 X R s : -4.52 (2.33) 4 X R s : -2.87 (3.70) 5 X R s : -0.44 (0.11) 1.13 (31.3) R -2 : 0.60; SER: 0.35; DW: 1.99 F: 109 (p: 0.0); SSR: 37; OBS:341 Low 1 X R s : 2.80 (0.85) 2 X R s : -1.07 (2.11) 3 X R s : -6.47 (2.20) 4 X R s : 1.73 (0.97) 5 X R s : 3.88 (0.56) 1.11 (19.3) R -2 : 0.550; SER: 0.33; DW: 2.23 F: 62 (p: 0.0); SSR: 22; OBS: 231 C. Industry Textile 1 X R s : 7.96 (3.25) 2 X R s : 0.0 (0.03) 3 X R s : -3.84 (1.42) 4 X R s : 1.01 (0.34) 5 X R s : 19.2 (1.71) 1.15 (18.8) R -2 : 0.52; SER: 0.40; DW: 2.09 F: 55 (p: 0.0); SSR: 32; OBS: 231 Machinery 1 X R s : 8.05 (3.57) 2 X R s : -0.08 (0.63) 3 X R s : -6.22 (2.30) 4 X R s : -2.31 (2.71) 5 X R s : 1.83 (0.37) 1.17 (27.4) R -2 : 0.63; SER: 0.30; DW: 2.18 F: 75 (p: 0.0); SSR: 17; OBS: 209 Food 1 X R s : 9.93 (3.52) 2 X R s : 0.26 (2.91) 3 X R s : -6.62 (2.13) 4 X R s : -1.59 (0.71) 5 X R s : 0.37 (0.7) 0.99 (14.6) R -2 : 0.58; SER: 0.28; DW: 1.98 F: 41(p: 0.0); SSR: 9; OBS: 132 D. All firms 1 X R s : 9.00 (6.65) 2 X R s : 0.06 (1.62) 3 X R s : -5.34 (3.32) 4 X R s : -1.79 (2.57) 5 X R s : 3..47 (1.02) 1.13 (37.4) R -2 : 0.61; SER: 0.34; DW: 2.10 F: 169 (p: 0.0); SSR: 59; OBS: 572 E. All firms with dummies a D 1 R s : -0.53 (2.94) D 2 R s : 0.55 (2.70)1.08 (41.5) R -2 : 0.58; SER: 0.35; DW: 2.06 F: 597 (p: 0.0); SSR: 89; OBS: 727 Explanations: Regression on each category contains five interaction terms between the weighted average real exchange rate change ( a R s ) and the determinants of exposure ( j X),, j X R s, where 1 X: the ratio of foreign to total sales, 2 X: (-1/OPCM), OPCM is the operational price-cost margin, 3 X: the ratio of net foreign currency debt (debt minus assets) to total assets, 4 X: the ratio of net foreign currency payables (payables minus receivables) to total sales, 5 X: real (quarterly) return on repos and reverse repos in government papers up to fourteen days of maturity. a This estimation is based on equation (4) that contains two dummies (one for competition and one for foreign sales ratio) that are interacted with the real exchange rate variable, D i R s, for the complete sample. D 1 R s is the interaction term related to the competition dummy (D1=1 for less competitive firms and zero otherwise), and D 2 R s is the interaction term related to the foreign sales dummy (D 2 =1 for high foreign sales firms and zero otherwise).

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