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Linear And Nonlinear Exchange Rate Exposure And The Price Of Exchange Rate Risk
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Book Synopsis Linear and Nonlinear Exchange Rate Exposure and the Price of Exchange Rate Risk by : Bernt Arne Ødegaard
Download or read book Linear and Nonlinear Exchange Rate Exposure and the Price of Exchange Rate Risk written by Bernt Arne Ødegaard and published by . This book was released on 2010 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Current empirical research concludes that the effect of exchange rates on US stock returns is negligible. In contrast, we present new evidence that numerous US industries are exposed to exchange rates. The differences between our findings and those in the extant literature are a result of using a new methodological approach which takes account of exchange rate regimes based on periods of depreciation and appreciation. Within each regime we show that first, the market's own exposure to exchange rates should be taken into account before considering industry exposure, second, bilateral rates should be used as opposed to a currency basket, and third, the possible nonlinear nature of exchange rate exposure should be considered. We present new empirical evidence of important economic and statistical linear and nonlinear relationships between exchange rates and industry stock returns. The size and sign of exposure coefficients in each regime depends on the extent to which an industry imports and exports. We also present new results regarding the pricing of bilateral currency risk which we find to be statistically and economically significant. The expected return earned due to exchange rates is positive when the dollar is appreciating and negative when the dollar is depreciating.
Book Synopsis Nonlinear Exchange Rate Models by : Lucio Sarno
Download or read book Nonlinear Exchange Rate Models written by Lucio Sarno and published by International Monetary Fund. This book was released on 2003-05-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange rates help resolve the "purchasing power parity (PPP) puzzles." The second question is whether recently developed nonlinear, regime-switching vector equilibrium correction models of the nominal exchange rate can beat a random walk model, the standard benchmark in the exchange rate literature, in terms of out-of-sample forecasting performance. Finally, issues related to the adequateness of standard methods of evaluation of (linear and nonlinear) exchange rate models are discussed with reference to different forecast accuracy criteria.
Book Synopsis Linear and Nonlinear Foreign Exchange Rate Exposures of German Nonfinancial Corporations by : Söhnke M. Bartram
Download or read book Linear and Nonlinear Foreign Exchange Rate Exposures of German Nonfinancial Corporations written by Söhnke M. Bartram and published by . This book was released on 2019 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: It has been viewed as an unsolved puzzle that only for a small number of firms a significant impact of foreign exchange rate risk on firm value could be detected empirically. This paper investigates whether the results of previous studies can be explained by the fact that only the linear exposure component has been estimated or that exchange rate indices were used. For a comprehensive sample of German firms, empirical evidence is presented for the existence of significant linear and nonlinear exposures, which can be identified for bilateral as well as multilateral foreign exchange rates. The percentage of foreign sales, measures of firm liquidity and industry sectors are significant determinants of the exposure.
Book Synopsis Pricing Currency Risk by : Sergio L. Schmukler
Download or read book Pricing Currency Risk written by Sergio L. Schmukler and published by World Bank Publications. This book was released on 2002 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The World Price of Foreign Exchange Risk by : Bernard Dumas
Download or read book The World Price of Foreign Exchange Risk written by Bernard Dumas and published by . This book was released on 1993 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider a world capital market in which the investor population is heterogenous. Investors of different countries differ in the prices of goods at which they consume the income from their investments. In such a setting, the international CAPM incorporates rewards for exchange rate risk, in addition to the traditional reward for market-covariance risk. The aim of the paper is to determine whether these additional risk premia empirically playa significant role in the pricing of securities. The test being conducted is a test of a conditional version of the CAPM. It builds on the recent empirical literature which points out that stock market returns may, to some extent, be predicted on the basis of a number of instrumental variables, such as interest rates and dividend yields. All previous tests of the international CAPM with exchange risk premia have been tests of the unconditional version and have been inconclusive.
Book Synopsis Non-US Firms' Exchange Rate Exposure and the Pricing of Exchange Rate Risk in Foreign Stock Markets by : Patricial Hill Hamlin Hall
Download or read book Non-US Firms' Exchange Rate Exposure and the Pricing of Exchange Rate Risk in Foreign Stock Markets written by Patricial Hill Hamlin Hall and published by . This book was released on 1995 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Measurement of Exchange Rate Exposure and Pricing of Exchange Rate Risk by : Sridhar Rajaraman (Ph.D.)
Download or read book Measurement of Exchange Rate Exposure and Pricing of Exchange Rate Risk written by Sridhar Rajaraman (Ph.D.) and published by . This book was released on 1996 with total page 107 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate Exposure by : Kathryn M. Dominguez
Download or read book Exchange Rate Exposure written by Kathryn M. Dominguez and published by . This book was released on 2001 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we examine the relationship between exchange rate movements and firm value. We estimate the exchange rate exposure of publicly listed firms in a sample of eight (non-US) industrialized and emerging markets, and find that a significant percentage of these firms are indeed exposed. These results differ substantially from most previous studies in the literature that find little evidence of exposure. In robustness checks we find that: (i) the choice of exchange rate matters, and using the trade-weighted exchange rate is likely to understate the extent of exposure, (ii) conditioning on the value-weighted vs. the equally-weighted market index has little effect on estimated exposure, while conditioning on the international index does change the estimate of exposure, (iii) the extent of exposure is not a result of a spurious correlation between random variables with high variances, (iv) exposure increases with the return horizon, (v) within a country and within an industry, exposure coefficients are roughly evenly split between positive and negative values, (vi) averaging across the (absolute value of the) significant exposure coefficients in our sample of countries, we find an exposure coefficient of about 0.5, (vii) the extent of exposure is not sensitive to the sample period, but the set of firms that is exposed does vary over time, and (viii) the sign of the exposure coefficients changes across subperiods for about half of the firms of our sample. We find that exposure is not systematically related to firm size, industry affiliation, multinational status, foreign sales, international assets or industry-level trade.
Book Synopsis Measurement of Exchange Rate Exposure and Pricing of Exchange Rate Risk by : Sridhar Rajaraman
Download or read book Measurement of Exchange Rate Exposure and Pricing of Exchange Rate Risk written by Sridhar Rajaraman and published by . This book was released on 1992 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk and Exchange Rates by : Maurice Obstfeld
Download or read book Risk and Exchange Rates written by Maurice Obstfeld and published by . This book was released on 1998 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops an explicitly stochastic new open economy macroeconomics' model, which can potentially be used to explore the qualitative and quantitative welfare differences between alternative exchange rate regimes. A crucial feature is that we do not simplify by assuming certainty equivalence for producer price setting behavior. Our framework also provides a sticky-price alternative to Lucas's (1982) exchage rate risk premium model. We show that the level risk premium' in the exchage rate is potentially quite large and may be an important missing fundamental in empirical exchange rate equations. As a byproduct analysis also suggests an intriguing possible explanation of the forward premium puzzle.
Book Synopsis Exchange Rates and Corporate Performance by : Yakov Amihud
Download or read book Exchange Rates and Corporate Performance written by Yakov Amihud and published by Beard Books. This book was released on 2003 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a reprint of a previously published book. It consists of a series of papers by experts in the field on how the exchange rate volatility of the 1980s affected the financial policies of international firms.
Book Synopsis Managing Global Financial and Foreign Exchange Rate Risk by : Ghassem A. Homaifar
Download or read book Managing Global Financial and Foreign Exchange Rate Risk written by Ghassem A. Homaifar and published by John Wiley & Sons. This book was released on 2004-03-23 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to managing global financial risk From the balance of payment exposure to foreign exchange and interest rate risk, to credit derivatives and other exotic options, futures, and swaps for mitigating and transferring risk, this book provides a simple yet comprehensive analysis of complex derivatives pricing and their application in risk management. The risk posed by foreign exchange transactions stems from the volatility of the exchange rate, the volatility of the interest rates, and factors unique to individual companies which are interrelated. To protect and hedge against adverse currency and interest rate changes, multinational corporations need to take concrete steps for mitigating these risks. Managing Global Financial and Foreign Exchange Rate Risk offers a thorough treatment of price, foreign currency, and interest rate risk management practices of multinational corporations in a dynamic global economy. It lays out the pros and cons of various hedging instruments, as well as the economic cost benefit analysis of alternative hedging vehicles. Written in a detailed yet user–friendly manner, this resource provides treasurers and other financial managers with the tools they need to manage their various exposures to credit, price, and foreign exchange risk. Managing Global Financial and Foreign Exchange Rate Risk covers various swaps in this geometrically growing field with notional principal in excess of $120 trillion. From caplet and corridors to call and put swaptions this book covers the micro structure of the swaps, options, futures, and foreign exchange markets. From credit default swap and transfer and convertibility options to asset swap switch and weather derivatives this book illustrates their simple pricing and application. To show real-world examples, each chapter includes a case study highlighting a specific problem, as well as a set of steps to solve it. Numerous charts accompanied with actual Wall Street figures provide the reader with the opportunity to comprehend and appreciate the role and function of derivatives, which are often misunderstood in the financial market. This detailed resource will guide the individual, government and multinational corporations safely through the maze of various exposures. A must-read for treasures, controllers, money mangers, portfolio managers, security analyst and academics, Managing Global Financial and Foreign Exchange Rate Risk represents an important collection of up-to-date risk management solutions. Ghassem A. Homaifar is a professor of financial economics at Middle Tennessee State University. He has Master of Science in Industrial Management from State University of New York at Stony Brook and PhD in Finance from University of Alabama in 1982. He is the author of numerous articles that have appeared in the Journal of Risk and Insurance, Journal of Business Finance and Accounting, Weltwirtschsftliches Archiv Review of World Economics, Advances in Futures and Options Research,Applied Financial Economics, Applied Economics, International Economics, and Global Finance Journal.
Download or read book Managing Exchange Rate Risks written by and published by . This book was released on 1987 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate Risk Measurement and Management by : Mr.Michael G. Papaioannou
Download or read book Exchange Rate Risk Measurement and Management written by Mr.Michael G. Papaioannou and published by INTERNATIONAL MONETARY FUND. This book was released on 2006-11-01 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Measuring and managing exchange rate risk exposure is important for reducing a firm's vulnerabilities from major exchange rate movements, which could adversely affect profit margins and the value of assets. This paper reviews the traditional types of exchange rate risk faced by firms, namely transaction, translation and economic risks, presents the VaR approach as the currently predominant method of measuring a firm's exchange rate risk exposure, and examines the main advantages and disadvantages of various exchange rate risk management strategies, including tactical versus strategical and passive versus active hedging. In addition, it outlines a set of widely accepted best practices in managing currency risk and presents some of the main hedging instruments in the OTC and exchange-traded markets. The paper also provides some data on the use of financial derivatives instruments, and hedging practices by U.S. firms.
Book Synopsis Assessing Asset Market Models of the Exchange Rate by : Dimitris G. Kirikos
Download or read book Assessing Asset Market Models of the Exchange Rate written by Dimitris G. Kirikos and published by . This book was released on 1992 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Currency Risk Premia in Global Stock Markets by : Shaun K. Roache
Download or read book Currency Risk Premia in Global Stock Markets written by Shaun K. Roache and published by International Monetary Fund. This book was released on 2006-08 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available, theory suggests that stock market investors should not be compensated for currency risk. However, data covering 33 industry portfolios across seven major stock markets suggest that not only is exchange rate risk priced in many markets, but that it is time-varying and sensitive to currency-specific shocks. With stock market investors typically exhibiting "home bias," this suggests that investors are using equity asset proxies to hedge the exchange rate risks to consumption.
Book Synopsis The Exchange Rate by : Giancarlo Gandolfo
Download or read book The Exchange Rate written by Giancarlo Gandolfo and published by . This book was released on 1991 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
