Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/162552
Authors: 
Eichler, Stefan
Rövekamp, Ingmar
Year of Publication: 
2017
Series/Report no.: 
CEPIE Working Paper 07/17
Abstract: 
In the course of eurozone exit, the underlying stocks of American Depositary Receipts (ADRs) would be redenominated from euros into the new national currency. We exploit ADR investors' exposure to currency redenomination losses to derive a novel measure of eurozone exit risk. We find that while domestic bank stocks are not significantly affected by domestic exit risk, there is a negative exposure to exit risk of other countries that is channeled through bilateral credit risk. For the real sector, exposure to eurozone exit risk is heterogeneous among industries and is less negative for more indebted companies.
Subjects: 
Eurozone Exit Risk
American Depositary Receipts
JEL: 
F31
F32
G01
G12
G15
Document Type: 
Working Paper

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