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[en] ESSAYS IN CURRENCY RISK AND MARKET MICROSTRUCTURE / [pt] ENSAIOS SOBRE RISCO DE TAXA DE CÂMBIO E MICROESTRUTURA DE MERCADOSYLVIO KLEIN TROMPOWSKY HECK 18 February 2009 (has links)
[pt] Esta tese de doutorado compõe-se de três artigos, sendo dois em finanças
empíricas e um em microestrutura de mercado. O primeiro artigo estuda de que
forma movimentos nas curvas de juros futuros em Reais e Dólares Americanos
negociados na BM&F estariam relacionados com duas medidas de prêmio de
risco cambial, uma à priori, calculada com base nas expectativas de variação
cambial três meses à frente apuradas pelo Focus-BC, e outra à posteriori,
calculada sobre a variação cambial efetiva realizada nos mesmos três meses. Os
resultados mostram que movimentos da curva de DI parecem mais
correlacionados com a variação cambial efetiva do que com as expectativas
coletadas entre os agentes. O segundo artigo é uma variação do modelo de Ang e
Piazzesi (2003), e investiga a contribuição do mercado de câmbio sobre o
prêmio a termo na curva de juros futuros em Reais no Brasil. Usa-se uma UIP no
lugar de uma Regra de Taylor para modelar a dinâmica da taxa de curto prazo, o
que nos permite substituir as variáveis macro usuais de inflação e produto pela
expectativa de variação cambial e prêmio de risco cambial na especificação do
prêmio a termo na curva. O terceiro artigo propõe um modelo de mercado interdealer
em três estágios onde o processo de revelação de informação é modelado
como um sinal ruidoso e invertido de forma seqüencial nos dois estágios de
negociação no mercado inter-dealer que se seguem à transação inicial. As
simulações realizadas sugerem que a diversificação de risco na economia
diminui quanto maior a precisão do sinal nos dois estágios. / [en] In this thesis we discuss two empirical essays in finance
and one in market
microstructure. The first article studies the joint
dynamics of the two most liquid
term structure of interest rates traded at BM&F, one in
Brazilian reais and the
other in US dollars, and two currency risk premia measures.
One currency risk
premia measure is obtained using currency expectation
surveys conducted by the
Central Bank of Brazil, while the other will be residual
from the three month
forward premium traded each day and the effective currency
observed on the
liquidation date three months after. Results show that the
term structures will
explain some of the realized currency risk premia observed
three months after.
We see this as an evidence in favor of information in the
curves more correlated
to the effective currency movement in three months than the
expected
devaluation. The second article proposes and extension of
the framework
introduced by Ang and Piazzesi (2003) to accommodate a no-
arbitrage term
structure model with macro factors. We replace the usual
inflation and output
macro factors for two currency variables, the expected
currency devaluation and
the currency risk premia. Results here show a better fit
when compared to
existing models estimated for Brazil. The third article
proposes an inter-dealer
market model in three stages, where disclosure of
information is modeled by
noisy informative signals. Simulations show that dealers
better informed will
play strategically to avoid revealing information and the
risk-sharing in the
economy will be lower when we increase the precision of the
informative
signals.
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Valutasäkringens påverkan vid internationell handel : En studie om hantering av valutarisker inom fordons- och elektronikbranschenRezai, Somaye, Botrous, Dilan January 2017 (has links)
Purpose: The purpose of the study was to investigate how companies are affected by currency hedging in international trade. One purpose was to investigate and identify the type of currency risks companies are most exposed to and what currency hedging methods are used to handle these. Methodology: To answer the study's question, research was conducted by using a qualitative data method and a content analysis method. Theoretical framework: The focus has been on these theories; Modigliani and Miller theory, currency risk management and previous studies. Result: The result of the study consists of a presentation of the processed data as underlies the analysis being carried out. Conclusion: The study found that the currency exposures which companies are primarily exposed to in international trade are transaction and translation exposures. Of the eight companies investigated in the study, seven of them focused on transaction exposure. The study also indicates that the most commonly used derivative instruments used by companies are futures, options and swaps, where futures due to its flexibility came first, options on the second place and swaps on the third place. The most important and used purchase currencies that the companies deal with are Euro, British pound and US-dollars. Whether it is profitable for companies to hedge their currency risks or not, this study found that currency hedging is profitable for companies. / Syfte: Syftet med studien var att undersöka hur företagen påverkas av valutasäkring vid internationell handel. Ett delsyfte var att undersöka och kartlägga vilken typ av valutarisk företagen är mest exponerade för samt vilka valutasäkringsmetoder som används vid hantering av dessa. Metod: För att besvara studiens frågeställning genomfördes forskningen genom en kvalitativ metod och en innehållsanalysmetod. Teoretiskt perspektiv: Fokus har legat på dessa teorier; Modigliani & Millers teori, valutariskhantering och tidigare studier. Empiri: Empirin innefattar den bearbetade datan som har samlats in från respektive företag samt är grunden för studiens analys. Slutsats: Studien kom fram till att den valutaexponering som företagen främst utsätts för vid internationell handel var transaktions-och omräkningsexponering. Av de åtta företag som har undersökts i studien visade sig att sju av dessa fokuserade på transaktionsexponering. Studien visade även att de vanligaste derivatinstrumenten som används av företagen var terminer, optioner och swappar. Terminer på grund av dess flexibilitet kom på första plats, optioner på andra plats och swappar på tredje plats. De viktigaste och mest använda inköpsvalutorna som företagen handlar med var euro, brittiskt pund och amerikanska dollar. Huruvida det är lönsamt för företagen att valutasäkra eller inte, tydde denna studies fynd på att valutasäkring är lönsamt för företag.
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Přistoupení ČR k eurozóně a jeho možné dopady na exportéry / Czech introduction of the euro and its possible impacts on exportersDvořáková, Michaela January 2008 (has links)
My thesis was designed to further assess the impacts of introduction of the euro in Czech Republic on exporters with a closer focus on foreign currency risk and the possibility of its elimination.
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Ocenění a řízení kurzových rizik společnosti CeWe Color, a.s. / Valuation and currency risk management of the company CeWe Color, a.s.Macourek, Michal January 2008 (has links)
The object of my graduation thesis is setting value of CeWe Color, a.s. by methods DCF and finding the influence of deflections of exchange rate to the company. For setting value were used strategic analysis, financial analysis and financial plan. The resulting value was set to 539 449 thousand czech crowns.
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Zajištění kurzových rizik v kontextu českého exportu / Hedging currency risks in the context of Czech exportRenč, Jan January 2010 (has links)
The main focus of this work is on hedging of currency risks with special emphasis on the case of Czech export. In the first chapter, I create a motivation for further studying of the problem. I describe the state of export industries and the economy as a whole and how these aspects are connected to the exchange rates. In the second chapter, I explain how firms create their assumptions about future exchange rates. I also run a Monte Carlo analysis on historical data and come with predictions of my own. In the third chapter, I am discussing the relevance of using VaR models for estimating the maximum possible loss of funds due to unwanted moves in the exchange rate. Furthermore, I describe various instruments usable for hedging of currency exposure including forwards, options, swaps and other derivatives. In the final chapter of this work, I am asking financial and sales directors of 51 Czech firms about how currency risks influence their businesses and how they protect themselves against these threats.
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Finanční deriváty v praxi / Financial Derivatives in PraxisDalekorejová, Petra January 2015 (has links)
The subject of the Master thesis „Financial Derivatives in Praxis“ is the analysis of the all kinds of financial derivates.The first part of the thesis deals with the general description of the derivates. In the next part of the thesis analysis of individual spices of derivates and their dividing into interest rate derivates and currency derivates is made. The final, practical part of the thesis, is devoted to the practical using of derivates in the hedging interest rate and currency risk on specific examples of companies and the offer of hedging on the Czech financial market.
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[en] THE DETERMINANTS OF BRAZILIAN INTEREST RATES FOR LONG-TERM PUBLIC FIXED INCOME SECURITIES / [pt] OS DETERMINANTES DAS TAXAS DE JUROS BRASILEIRAS PARA TÍTULOS PÚBLICOS PRÉ-FIXADOS DE LONGO PRAZOANDRE CABUS KLOTZLE 01 December 2008 (has links)
[pt] Este trabalho objetiva, por meio da utilização de um modelo
de paridade
coberta de juros ajustada aos riscos país e demais riscos
(sobretudo domésticos),
verificar, estatisticamente, quais são os determinantes da
taxa de juros brasileira
para títulos públicos pré-fixados de longo prazo - no caso,
as Notas do Tesouro
Nacional Série F (NTN-Fs) de prazo aproximado de 10 anos,
com vencimento em
2017. A variável dependente foi definida como a taxa de
retorno das respectivas
NTN-Fs, ao passo que as variáveis independentes ou
explicativas foram a taxa
livre de risco dos Treasuries norte-americanos de 10 anos,
o prêmio de risco
Brasil e o risco cambial. Os demais riscos (especialmente
domésticos), por se
tratarem do diferencial entre as NTN-Fs e as outras
variáveis, encontram-se dentro
do componente de termo do erro. Tendo em vista que as
variáveis independentes
possuem fortes relações de multicolinearidade - o que
trouxe resultados visados
para o coeficiente de determinação e aqueles individuais -,
optou-se por rodar
um modelo VAR e, a partir do mesmo, extrair os graus de
endogeneidade de cada
variável. Assim, foi possível observar o grau de
importância e causalidade das
variáveis individualmente e se o modelo estava corretamente
especificado - ou
seja, se a taxa de juros das NTN-Fs de longo prazo foi de
fato explicada pelas
demais variáveis. As principais ferramentas do modelo VAR -
decomposição de
variância e funções impulso-resposta - permitiram tirar
importantes conclusões
acerca dos impactos defasados de variações ou choques
ocorridos nas variáveis
independentes sobre a taxa de juros das NTN-Fs analisadas.
Os resultados
comprovaram que a taxa de juros das NTN-Fs é a variável
mais endógena do
modelo e, portanto, a dependente, além disso, mostrou que o
risco cambial é a
variável menos endógena, indicando sua importância cada vez
menor na formação
das taxas de juros de longo prazo no Brasil. A conclusão
mais relevante, contudo,
foi a evidência de que existe uma correlação negativa entre
a taxa de juros livre de
risco e a taxa dos títulos de longo prazo brasileiros,
contrariando, pelo menos em
2007, a Teoria das Carteiras, que prevê uma relação
positiva entre a taxa livre de
risco e o retorno de um ativo. / [en] This study aims to verify statistically, through the
utilization of an interest
rate covered parity model adjusted to the country-risk and
other risks (domestic,
mainly), what are the determinants of Brazilian interest
rates for long-term public
fixed income securities - in this case, the so-called
National Treasury Notes -
Series F (NTN-Fs) with maturity in approximately 10 years,
more precisely, in
2017. The dependent variable was defined as being the yield-
to-maturity of the
respective NTN-Fs, whereas the independent or explanatory
variables were the
risk-free rates of the US 10-year Treasuries, the Brazilian
country-risk and the
exchange rate risk. The other risks (especially domestic
ones), as well as they
reflect the differential between the NTN-Fs and the other
variables, are one of the
error term components. Given that the independent variables
have strong
multicollinearity - which brings biased results to the
determination and
individual coefficients -, we opted for using a VAR model
and, based on it,
obtain the endogenous degrees of each variable. Then, it
was possible to observe
the causality and importance level of the variables
individually and if the model
was correctly specified - that is, if the long-term NTN-Fs
interest rates were in
fact explained by the other variables. The main VAR model
tools - which are the
variance decomposition and the impulse-response functions -
allowed us to
make important conclusions about the delayed impacts of
variations or shocks
occurred in the independent variables over the analyzed NTN-
Fs interest rates.
The results proved that NTN-Fs interest rate is the most
endogenous variable of
the model and, therefore, the dependent one. The results
also showed that the
exchange rate risk is the less endogenous variable,
suggesting it has a decreasing
importance for the long-run interest rate building in
Brazil. However, the most
important conclusion was the evidence that there is a
negative correlation between
the risk-free rate and Brazilian long-run securities
interest rates, opposing, at least
in 2007, the Portfolio Theory, which foresees a positive
relationship between the
risk-free irate and the return of an asset.
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Essays on exchange rates and pricesWilander, Fredrik January 2006 (has links)
This thesis consists of five separate papers, broadly within the field of International Finance. The first paper, An Empirical Analysis of the Currency Denomination in International Trade, investigates the choice of currency in international trade transactions by Swedish exporting firms. It uses an extensive dataset on payment transactions between foreign importers and Swedish exporting firms. It is the first paper to examine currency invoicing at such a disaggregated level. The main findings are that high exchange rate volatility reduces the likelihood of using the importers currency while high GDP and GDP per capita in the importing country increases the likelihood. A large market share of a third country increases the likelihood of using the third country's currency. A further finding is a decreased use of Swedish krona and a rise in the use of the euro as a vehicle currency. State Dependent Pricing, Invoicing Currency and Exchange Rate Pass-Through, written jointly with Martin Flodén, analyzes exchange rate pass-through in a dynamic model with menu costs. In the paper, we provide a link between the fixed and flexible price analyses by specifying a dynamic framework with exogenous choice of exporting currency, but with endogenous pricing decisions. We consider the pricing strategies of firms that produce in a home country, sell on a foreign market, and can change the price in response to exchange rate fluctuations, while being subject to menu costs. Our main finding is that when the exporter prefers to set price in the importer’s currency, the exporter also changes prices less frequently than if price was set in the exporter’s home currency. The intuition is that in this setting, the optimal currency choice is the one that on average minimizes the difference between fixed and flexible price profits, and thereby the frequency of price updates. When the importer’s currency is preferred it leads to limited pass-through and a low correlation between exchange rate movements and import prices. The third paper, Demand and Distance: Evidence of Cross Border Shopping , written jointly with Marcus Asplund and Richard Friberg, uses data from 287 Swedish municipalities to estimate how responsive alcohol sales are to foreign prices, and relate the sensitivity to the location's distance to the border. Typical results suggest that the elasticity with respect to the foreign price is around 0.4 in the border region; moving 200 (400) kilometers inland reduces it to 0.2 (0.1). For example, a 10 percent reduction in the Danish price of spirits causes a fall in per capita sales of roughly 4 percent at the border (Malmö). This large cross price elasticity is almost half the own price elasticity. The effect diminishes gradually as one moves further from the border, but fall in sales is estimated to drop below 1 percent only at 460 kilometer from the border. Not until we reach 1000 kilometers can we reject that the effect is zero. Common Currencies and Equity Prices: Evidence from a Political Event, uses a political event, the Swedish referendum on whether or not to join the European Monetary Union (EMU), as a natural experiment to examine the relationship between common currencies and the market value of exporting firms. If Sweden would have voted to join the EMU, exchange rate uncertainty as well as transaction costs would have been greatly reduced for many exporting companies. Prior to the referendum, these potential gains (adjusted for the probability of joining) should have been included in equity prices. The day after the referendum that probability of was zero and one would expect a decline in equity prices of exporting firms. We find evidence of statistically significant negative abnormal returns on the trading day after the election for only two out of fifteen examined industry indices. The small effects found in this study are in line with earlier research that finds a weak relationship between exchange rates and equity prices. The fifth paper, When is a Lower Exchange Rate Pass-Through Associated with Greater Exchange Rate Exposure?, written jointly with Martin Flodén and Witness Simbanegavi, we study the relationship between exchange rate pass-through and exchange rate exposure (the relation between profits and exchange rates) under flexible prices. We introduce a convex cost function and study the effects of changing the elasticity of costs with respect to output. We do this both in a model of monopolistic competition as well as in the oligopoly models used by Bodnar et al (2002). We find that increasing the convexity of costs reduces both exchange rate pass-through and exposure, both under monopolistic competition and in duopoly settings. The conclusion is thus that if industries differ mainly on the supply side, this would imply a positive correlation between pass-through and exposure. However, our extension does not affect the result in Bodnar et al. that exchange rate pass-through and exposure should be negatively correlated across industries if industries differ mainly on the demand side, more specifically in the substitutability between domestically produced and imported goods. / <p>Diss. (sammanfattning) Stockholm : Handelshögskolan, 2006, S. 3-12: sammanfattning, s. 15-120: 5 uppsatser</p>
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Devizová expozice a devizové riziko / Foreign exchange exposure and currency riskNOVÁKOVÁ, Ilona January 2013 (has links)
Thesis "Foreign exchange exposure and currency risk" deals with managing foreign currency exposure and foreign exchange risks when doing business in The Czech Republic. It defines foreign exchange risk, different types of foreign exchange exposures and the possibility of its ensuring, as well as internal and external methods of reducing foreign exchange exposure and foreign exchange risk. The practical part is devoted to a particular solution, respectively to the management of foreign exchange exposure and foreign currency risk in ABC, s.r.o. company.
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Řízení kurzového rizika výrobního podniku / Hedging of currency risk of manufacturing companyFomina, Elena January 2017 (has links)
This thesis has an aim to create a hedging strategy for currency risks for exporting company. The main reason for hedging are possible losses that can be triggered by changes in exchange rate. In the case of exchange rate changes exporting company may face three different types of exposure: transaction, translation and economic exposure. This thesis concentrates on transaction exposure and builds a hedging strategy for exporting company AAA a.s. This firm is analyzed from qualitative side as well as from quantitative which is presented in the form of historical overview of the company and its position in international group. Based on this analysis as well as on theoretical findings, the hedging strategy for AAA a.s. was proposed. This strategy uses external and internal means of hedging.
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