A Dual-Measurement Approach to Corporate Foreign Exchange Exposure in Indonesian Non-Financial Firms, 2020–2024
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How corporate foreign exchange exposure is measured can change what a study concludes. This paper compares two measures of exposure for Indonesian non-financial firms over the high-volatility period 2020 to 2024: the absolute FX beta, which captures the magnitude of exposure, and the signed FX beta, which captures its direction. FX beta is estimated firm-by-year from weekly returns in a two-factor market model for a panel of 30 firms and 150 firm-year observations. Each measure is then regressed on foreign currency debt, derivative use, export intensity, the debt-by-export interaction, and firm controls, with panel diagnostics selecting pooled OLS and White diagonal standard errors. The two measures give different results from the same data. Under the magnitude measure, only derivative use significantly lowers exposure (-0.3776; p = 0.009). Under the signed measure, export intensity is positive and significant (1.2916; p = 0.091), which identifies a transactional-gain channel for commodity exporters that the magnitude measure hides. The study concludes that exposure research in commodity economies should report both measures, because the absolute value alone discards information on which firms gain and which lose from currency movements.
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