No / We compare actual and calibrated values for the foreign exchange risk premium based on the definition in [J. Int. Econ. 32 (1992) 305]. Calibrated values are found from within a dynamic stochastic general equilibrium model of a small open economy consisting of risk averse optimizing agents with unconventional preferences. We find that the equilibrium foreign exchange risk premium is a function of exogenous shocks in the model and is sensitive to assumed attitudes towards risk. Furthermore, various forms of policy uncertainty improve the capacity of the model to generate values closer to those found in the data.

Made available in DSpace on 2016-04-25T16:44:40Z (GMT). No. of bitstreams: 1 Alessandra Orchis Machado.pdf: 1676745 bytes, checksum: fda25269467d033aa40b44f2831d2a4d (MD5) Previous issue date: 2014-08-27 / Most companies have to manage their foreign exchange risk, and the appropriate use of financial derivatives would consist among most efficient strategies to minimize this risk. Through the theory of modern finance, the combination of rationality and technique would be sufficient to ensure the success of protection policies, generating low volatility of results and value to businesses. However, behavioral finance theory has identified that agents psycological and social factors interfere in decision process, and may cause unexpected results to individuals and companies. Thus, this study expects to answer why not always use currency derivatives for hedging purposes adds value to the firms, despite its benefits seem obvious. For it, it was analyzed secondary data from Brazil, emerging country with currency volatility and growing derivatives market, suitable for behavioral studies. Among many behavioral aspects presented in financial theory, this research delimited its analysis in anchoring, availability, herd behavior and aversion to certain loss. Anchoring and availability heuristics, would be expressed by managers decisions based on market forecasts was analyzed by correlation between observed and projected foreign exchange rates. The herd effect was studied by the time series evolution of the exchange rate and outstanding of OTC derivatives. The aversion to certain loss, was studied by the correlation between the hedging premium, differential between spot and futures exchange, and the evolution derivatives outstanding. By these data it was possible to identify moderately the heuristics and herd behavior. The aversion to certain loss was not evidenced by the data studied. Anyway, this research contributes to academic foundations, companies and regulators, and provides fertile field for further studies / Boa parte das empresas são desafiadas a gerir seu risco cambial, sendo que a utilização adequada de derivativos financeiros constaria entre as estratégias mais eficientes para minimização deste risco. Pela teoria de finanças moderna, a combinação entre racionalidade e técnica seriam suficientes e garantiriam o sucesso de políticas de proteção, gerando baixa volatilidade de resultados e valor às empresas. Contudo, a teoria de finanças comportamentais identificou que fatores psicossociais dos agentes interferem no processo decisório, podendo gerar resultados inesperados a indivíduos e empresas. Assim, com este estudo espera-se responder por que nem sempre o uso de derivativos cambiais com finalidade de hedge adiciona valor às empresas, apesar de seus benefícios parecerem óbvios. Para tanto, foram utilizados dados secundários do Brasil, país emergente com alta volatilidade cambial e mercado de derivativos crescente, propício para estudos comportamentais. Entre os diversos aspectos comportamentais apresentados na teoria financeira, esta pesquisa delimitou sua análise na ancoragem, disponibilidade, efeito manada e aversão à perda certa. A ancoragem e a disponibilidade, as heurísticas, manifestadas por gestores que tomariam decisões de hedge baseadas em projeções de câmbio do mercado, foram analisadas pela correlação entre câmbio projetado e observado. Para o efeito manada buscou-se identificar relações entre as séries temporais, evolução da taxa de câmbio e estoque de derivativos de balcão. A aversão à perda certa, por sua vez, foi estudada por meio do cálculo de correlação entre prêmio pelo hedge, diferencial de pontos entre câmbios à vista e futuro, e evolução do estoque de derivativos. As amostras estudadas permitiram a identificação, ainda que moderada, de potenciais deficiências das heurísticas e efeito manada. Já a aversão à perda certa não foi evidenciada na base de dados estudada. De qualquer forma, esta pesquisa contribui para as bases acadêmicas, empresas e órgãos reguladores, e apresenta terreno fértil para novos estudos

This study employs widely excepted asset pricing models to test their explanatory power in the context of Istanbul Stock Exchange listed companies between 1990 and 2010. The risk factors, beta, size, book-to-market equity, and momentum are used to form portfolios and their factor loadings are estimated. The results of this study are mostly in line with the previous academic research, and some unique attributes of the return generation mechanism of Istanbul Stock Exchange are reported.

Purpose: The purpose of the thesis is to describe which foreign exchange risk techniques that are used by medium- and large-sized Swedish companies within the Jönköping region, and how they as well as a bank evaluate the techniques in the current recession. Background: The reason why companies decide to expand their operations abroad is to take advantage from imperfections in other national markets. The fluctuations in currencies and exchange rates can have a huge effect on a company’s cash flows when doing business abroad. Therefore, when companies manage their foreign exchange risk, they have to be familiar with all the methods and tools available in order to pick the ones that best suit their needs. Method: We sent out a questionnaire and got it answered by eight companies within the Jönköping region regarding their strategy when managing foreign exchange risk. We have also interviewed a financial adviser, working at Handelsbanken, regarding the techniques offered to companies. A “foreign currency table” located in Linköping, was also contacted. They are in charge of creating recommendations and products sold by Handelsbanken. Conclusion: Hedging is the most frequently used tool by the companies in our study. Leading and lagging strategies are used quite often, while swaps and invoice currency is used less frequently by them. Exposure netting and cash pooling does not seem to be used at all. We believe that companies generally should seek more information on new techniques introduced in the market and be open to new possibilities and solutions for managing currency risk. Most of the companies in our sample, according to us, are too comfortable in their choice of techniques. / Syfte: Syftet med denna uppsats är att beskriva vilka valutarisk tekniker som används av medelstora och stora företag inom Jönköpings området, samt hur dessa företag och en bank utvärderar teknikerna i den rådande lågkonjunkturen. Bakgrund: Anledningen till varför företag väljer att expandera utomlands är för att ta nytta av fördelar som uppstår i andra marknader. Fluktuationer i valutor och valutakurser kan ha stor effekt på företagens kassaflöden när handel utomlands utförs. När företag hanterar sin valutarisk måste de vara familjära med de olika metoder som finns tillgängliga, för att få reda på vilka av dessa som bäst tillgodoser deras behov. Metod: Åtta företag inom Jönköpings regionen, svarade på ett formulär, angående deras strategi när det kommer till hantering av valutarisk. Vi har även intervjuat en företags rådgivare på Handelsbanken, angående teknikerna som de erbjuder företagen. Valutabordet i Linköping har också blivit kontaktat. De har till uppgift att ta fram rekommendationer och produkter som säljs av Handelsbanken. Slutsats: Hedging är den teknik som används mest av företagen i vår undersökning. Leading och lagging används rätt så ofta, medan swaps och invoice currency används mer sällan av dem. Exposure netting och cash pooling tycks inte användas alls. Vi anser att företag generellt ska eftersöka mer information om nya tekniker som introduceras på marknaden samt vara öppna för nya möjligheter och lösningar till att hantera valutarisk. De flesta av de undersökta företagen anser vi i dagsläget är för bekväma i sina val av tekniker.

<p><strong>Purpose: </strong>The purpose of the thesis is to describe which foreign exchange risk techniques that are used by medium- and large-sized Swedish companies within the Jönköping region, and how they as well as a bank evaluate the techniques in the current recession.</p><p><strong>Background: </strong>The reason why companies decide to expand their operations abroad is to take advantage from imperfections in other national markets. The fluctuations in currencies and exchange rates can have a huge effect on a company’s cash flows when doing business abroad. Therefore, when companies manage their foreign exchange risk, they have to be familiar with all the methods and tools available in order to pick the ones that best suit their needs.</p><p><strong>Method: </strong>We sent out a questionnaire and got it answered by eight companies within the Jönköping region regarding their strategy when managing foreign exchange risk. We have also interviewed a financial adviser, working at Handelsbanken, regarding the techniques offered to companies. A “foreign currency table” located in Linköping, was also contacted. They are in charge of creating recommendations and products sold by Handelsbanken. <strong></strong></p><p><strong>Conclusion: </strong>Hedging is the most frequently used tool by the companies in our study. Leading and lagging strategies are used quite often, while swaps and invoice currency is used less frequently by them. Exposure netting and cash pooling does not seem to be used at all. We believe that companies generally should seek more information on new techniques introduced in the market and be open to new possibilities and solutions for managing currency risk. Most of the companies in our sample, according to us, are too comfortable in their choice of techniques.<strong></strong></p> / <p><strong>Syfte: </strong>Syftet med denna uppsats är att beskriva vilka valutarisk tekniker som används av<strong> </strong>medelstora och stora företag inom Jönköpings området, samt hur dessa företag och en bank utvärderar teknikerna i den rådande lågkonjunkturen.</p><p><strong>Bakgrund: </strong>Anledningen till varför företag väljer att expandera utomlands är för att ta nytta av fördelar som uppstår i andra marknader. Fluktuationer i valutor och valutakurser kan ha stor effekt på företagens kassaflöden när handel utomlands utförs. När företag hanterar sin valutarisk måste de vara familjära med de olika metoder som finns tillgängliga, för att få reda på vilka av dessa som bäst tillgodoser deras behov.</p><p><strong>Metod: </strong>Åtta företag inom Jönköpings regionen, svarade på ett formulär, angående deras strategi när det kommer till hantering av valutarisk. Vi har även intervjuat en företags rådgivare på Handelsbanken, angående teknikerna som de erbjuder företagen. Valutabordet i Linköping har också blivit kontaktat. De har till uppgift att ta fram rekommendationer och produkter som säljs av Handelsbanken.<strong></strong></p><p><strong>Slutsats: </strong>Hedging är den teknik som används mest av företagen i vår undersökning. Leading och lagging används rätt så ofta, medan swaps och invoice currency används mer sällan av dem. Exposure netting och cash pooling tycks inte användas alls. Vi anser att företag generellt ska eftersöka mer information om nya tekniker som introduceras på marknaden samt vara öppna för nya möjligheter och lösningar till att hantera valutarisk. De flesta av de undersökta företagen anser vi i dagsläget är för bekväma i sina val av tekniker.</p>

With an increasingly globalized world of multinational firms dominating the global market, firms have discovered the impact of transaction exposure on their business. To handle the risk, firms can hedge their transaction exposure with currency derivatives. This paper aims to determine and explain what variables, beyond the size of the transaction exposure, affect firms’ usage of currency derivatives for hedging purposes. Previous research shows a divided estimation of what underlying causes. The variables studied to explain the usage of currency derivatives are industry affiliation, size of firm, geographical dispersal and profitability. With a sample size of 70 major Swedish internationally active non-financial firms, a multiple regression analysis was constructed to potentially demonstrate causality. To create a method triangulation, an interview with a currency derivatives expert was conducted as a complement to the quantitative strategy. The result of this paper indicates that industry affiliation possibly affects firm’s usage of currency derivatives for hedging purposes, however none of the studied variables show a sufficient statistical significance to prove a causality. / Med en allt mer globaliserad värld med multinationella företag som dominerar den globala marknaden har företagen upptäckt transaktionsexponeringens påverkan på dess verksamhet. För att hantera risken kan företag säkra sin transaktionsexponering med hjälp av valutaderivat. Denna studie ämnar till att fastslå och förklara vilka variabler, utöver transaktionsexponeringens storlek, som påverkar svenska rörelsedrivande företags användande av valutaderivat i säkringssyfte. Inom tidigare forskningen råder delade meningar om vilka bakomliggande orsaker som påverkar företags användande av valutaderivat. De variabler som undersöktes för att förklara användandet av valutaderivat är företagens branschtillhörighet, dess storlek, verksamhetens geografiska spridning samt dess lönsamhet. Med ett urval på 70 stora svenska internationellt verksamma rörelsedrivna företag gjordes en multipel regressionsanalys för att påvisa samband mellan användandet av valutaderivat i transaktionssäkringssyfte och påverkande variabler. För att skapa en metodtriangulering genomfördes även en intervju med en valutaderivatexpert som ett komplement till den kvantitativa strategin. Resultatet av studien indikerar på att branschtillhörighet möjligen kan påverka företagens användande av valutaderivat men ingen av de studerade variablerna uppvisade en tillräcklig signifikans för att statistiskt säkerställa sambanden.

Exchange rate economics has achieved substantial development in the past few decades. Despite extensive research, a large number of unresolved problems remain in the exchange rate debate. This dissertation studied three puzzling issues aiming to improve our understanding of exchange rate behavior. Chapter Two used advanced econometric techniques to model and forecast exchange rate dynamics. Chapter Three and Chapter Four studied issues related to exchange rates using the theory of New Open Economy Macroeconomics. Chapter Two empirically examined the short-run forecastability of nominal exchange rates. It analyzed important empirical regularities in daily exchange rates. Through a series of hypothesis tests, a best-fitting fractionally integrated GARCH model with skewed student-t error distribution was identified. The forecasting performance of the model was compared with that of a random walk model. Results supported the contention that nominal exchange rates seem to be unpredictable over the short run in the sense that the best-fitting model cannot beat the random walk model in forecasting exchange rate movements. Chapter Three assessed the ability of dynamic general-equilibrium sticky-price monetary models to generate volatile foreign exchange risk premia. It developed a tractable two-country model where agents face a cash-in-advance constraint and set prices to the local market; the exogenous money supply process exhibits time-varying volatility. The model yielded approximate closed form solutions for risk premia and real exchange rates. Numerical results provided quantitative evidence that volatile risk premia can endogenously arise in a new open economy macroeconomic model. Thus, the model had potential to rationalize the Uncovered Interest Parity Puzzle. Chapter Four sought to resolve the consumption-real exchange rate anomaly, which refers to the inability of most international macro models to generate negative cross-correlations between real exchange rates and relative consumption across two countries as observed in the data. While maintaining the assumption of complete asset markets, this chapter introduced endogenously segmented asset markets into a dynamic sticky-price monetary model. Simulation results showed that such a model could replicate the stylized fact that real exchange rates tend to move in an opposite direction with respect to relative consumption.

This dissertation evaluates development of exchange rates and its specific effects on STAP company a.s. The aim of this paper is to present the events that have had influence on the development of the exchange rate between Euro and Czech Crown and precautionary measures taken by STAP a.s. to prevent related risks. The first part comprises a summary of events that had a significant impact on the exchange rate development; the risks created by these events and methods devised to prevent these risks. The second part evaluates the specific financial derivatives used by STAP a.s. and their impact. Finally the recommendation is made for the future more effective usage of the financial instruments.

Made available in DSpace on 2016-04-25T18:40:45Z (GMT). No. of bitstreams: 1 Anderson Tanaka.pdf: 1073243 bytes, checksum: 67da2f0e3298c14c92c8fc047d5cec5c (MD5) Previous issue date: 2010-05-31 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / It is essential for the importers to think about the exchange variation when importing goods for the local trading. The use of derivatives is one way for the importers to protect themselves from these exchange variations. Derivatives are financial instruments used by companies in order to manage the risks over the fluctuation of exchange variations, as well as the interest rates and the price changes. The lack of knowledge for the use of these protection instruments leads the companies to have losses with the exchange variation. The accounting treatment for the use of derivatives is a subject which has recently been developing with the harmonization of the international financial reporting standards, the IFRS. This case studies a mediumsized importing company, in the shoes trading segment which does not apply any kind of derivative. Impacts on these derivatives operations, which can generate great losses when they are not used in a correct manner, is shown. The exchange losses are derived when the company opts for the free exchange by the moment of importing its stocks, once having a negative variation, leads the company to record these losses in its financial statements. Thus, the best protection strategies and internal controls the Company should adopt using the rules of IASB (International Accounting Standards Board), is shown. The IASB and Brazilian Committee on Accounting Pronouncements, ( CPC ) principles of recognition, measurement and derivatives accounting has presented, being emphasized the hedge accounting instruments, the internal controls necessary for the financial instruments control and management and the tax effects on exchange variations and Transfer Pricing using the hedge instruments / Pensar na variação cambial é um ponto indispensável aos importadores quando se trata de importar mercadorias para a comercialização local. Uma forma dos importadores se protegerem dessas oscilações cambiais é a utilização de derivativos. Os derivativos são instrumentos financeiros utilizados pelas empresas para gerenciar os riscos sobre as oscilações das variações cambiais, assim como as taxas de juros e as mudanças de preços. A falta de conhecimento para o uso desses instrumentos de proteção leva as empresas a terem prejuízos com a variação cambial. O tratamento contábil para o uso dos derivativos é um assunto que vem se desenvolvendo recentemente com a harmonização das práticas contábeis internacionais, o IFRS (International Financial Reporting Standards). Este estudo de caso aborda uma empresa importadora, de médio porte, no segmento de comércio calçadista que não adota nenhum tipo de derivativo. São demonstrados os impactos dessas operações de derivativos que podem vir a gerar grandes prejuízos quando não forem utilizados de forma correta. Os prejuízos cambiais ocorrem quando a empresa opta pelo câmbio livre no momento de importar seus estoques, que tendo uma variação negativa, leva a empresa a registrar perdas nas suas demonstrações financeiras. Dessa forma são demonstradas quais estratégias de proteção e controles internos a empresa importadora deveria adotar utilizando-se os conceitos das normas do IASB (International Accounting Standards Board). São apresentados os conceitos do IASB e CPC (Comitê de Pronunciamentos Contábeis) de reconhecimento, mensuração e contabilização dos derivativos com ênfase nos instrumentos de hedge (hedge accounting), os controles internos necessários para o controle e gestão dos instrumentos financeiros e os efeitos fiscais na utilização de derivativos e das importações (Transfer Price) usando os instrumentos de hedge

Dauguma šiuolaikinių finansų valdymo ir investicijų mokslinių darbų akcentuoja finansinės rizikos valdymo svarbą finansinių institucijų veiklai. Augančioje finansų rinkoje aktyviais dalyviais tampa įmonės, kurių ilgalaikei sėkmei įtakos turi finansinių lėšų valdymas. Magistro darbe išanalizuoti ir susisteminti įvairių Lietuvos ir užsienio autorių teoriniai ir praktiniai iždo rizikų valdymo aspektai, sukeliantys riziką veiksniai, rizikos rūšys, iždo rizikų įvertinimo ir valdymo metodai. Parodyta, kad pagrindinis rizikos valdymo tikslas nebūtinai yra jos išvengti, o suprasti kritinius rizikos veiksnius ir profesionaliai juos valdyti. Atlikus analizę AB „Mažeikių nafta“ nustatytos šios iždo rizikos: rinkos (valiutų kurso, palūkanų normos, biržinių prekių kainos kitimo), likvidumo, kredito, operacinė. Panaudojus rizikos vertės VaR@95% metodo skaičiavimus, įvertintas iždo rizikų poveikis bendrovės finansinių išteklių formavimui. Patvirtinta autorės suformuluota mokslinio tyrimo hipotezė, kad iždo rizikų strateginis valdymas įmonėje stabilizuoja įmonės pinigų srautus, sumažina įmonės nuostolius dėl finansų rinkos neigiamų pokyčių, pagerina pelningumo prognozavimą. / Most of today’s finance management and investment scientific papers emphasize the importance of finance risk management for the financial institution activities. The companies the long-term success of which comes from the funds management become the active participants in the growing financial market. The Master’s Thesis analyses and systemizes the theoretical and practical aspects of treasury risk management, factors causing risk, types of risks, methods of treasury risk evaluation and management as described by various Lithuanian and foreign authors. It identifies that the main goal of risk management is not necessarily to prevent the risk but to understand the critical risk factors and manage them in professional way. After the analysis has been made the following treasury risks were identified for AB Mažeikių Nafta: market (currency rate exchange, interest rate, commodity price fluctuation), liquidity, credit, operations. Using risk value VaR@95% method calculations the treasury risk impact to the formation of the company financial resources was evaluated. The scientific research hypothesis of the author stating that treasury risk strategy management in the Company stabilizes the Company’s cash flows, reduces loses resulted from negative changes in the finance market, improves the profitability forecasting was proved to be correct.