The use of currency options has been grown widely during the latest years. This paper tries to answer whether hedge strategies using currency options are superior to forward exchange contracts or not.

Neste estudo, é testada empiricamente a hipótese de eficiência no mercado a termo de câmbio brasileiro, para o período recente de flutuação cambial. A freqüência dos dados é diária, e as taxas a termo são construídas com base no mercado de swaps. É utilizado um método de estimação semi-paramétrico e estatisticamente robusto no contexto de distribuições com caudas pesadas. Este método ainda permite que se trabalhe com séries não-estacionárias no nível (sem diferenciar) e com observações sobrepostas (quando o prazo do contrato a termo excede o intervalo entre as observações da amostra). A hipótese de eficiência é rejeitada quando se usa o método robusto; por outro lado, um método mais sensível à presença de outliers falha em rejeitar a hipótese. Por fim, são discutidas algumas questões relativas à hipótese de eficiência, com especial ênfase para a questão de se a rejeição da hipótese é devida à presença de um prêmio de risco cambial, da ineficiência de mercado ou de ambos os fatores. Os resultados sugerem que o mercado de câmbio a termo no Brasil não é eficiente. / In this dissertation, the forward exchange market efficiency hypothesis is tested for the recent floating regime in Brazil. We use daily frequency data, with implied forward rates based on the swap market. The statistical approach is a semiparametric procedure which is statistically robust to data distributions with heavy tails and allows for non-stationarity of the data and overlapping observations (when the interval between observations is shorter than the futures maturity). The efficiency hypothesis is rejected when the robust procedure is used; still, a distinct procedure more sensible to the presence of outliers fails to reject the hypothesis. At last, we discuss some issues regarding the efficiency hypothesis, emphasizing the question of whether the rejection of the efficiency hypothesis denounces the presence of a risk premium, of market inefficiency or both. The results suggest the Brazilian forward exchange market is not efficient.

Neste estudo, é testada empiricamente a hipótese de eficiência no mercado a termo de câmbio brasileiro, para o período recente de flutuação cambial. A freqüência dos dados é diária, e as taxas a termo são construídas com base no mercado de swaps. É utilizado um método de estimação semi-paramétrico e estatisticamente robusto no contexto de distribuições com caudas pesadas. Este método ainda permite que se trabalhe com séries não-estacionárias no nível (sem diferenciar) e com observações sobrepostas (quando o prazo do contrato a termo excede o intervalo entre as observações da amostra). A hipótese de eficiência é rejeitada quando se usa o método robusto; por outro lado, um método mais sensível à presença de outliers falha em rejeitar a hipótese. Por fim, são discutidas algumas questões relativas à hipótese de eficiência, com especial ênfase para a questão de se a rejeição da hipótese é devida à presença de um prêmio de risco cambial, da ineficiência de mercado ou de ambos os fatores. Os resultados sugerem que o mercado de câmbio a termo no Brasil não é eficiente. / In this dissertation, the forward exchange market efficiency hypothesis is tested for the recent floating regime in Brazil. We use daily frequency data, with implied forward rates based on the swap market. The statistical approach is a semiparametric procedure which is statistically robust to data distributions with heavy tails and allows for non-stationarity of the data and overlapping observations (when the interval between observations is shorter than the futures maturity). The efficiency hypothesis is rejected when the robust procedure is used; still, a distinct procedure more sensible to the presence of outliers fails to reject the hypothesis. At last, we discuss some issues regarding the efficiency hypothesis, emphasizing the question of whether the rejection of the efficiency hypothesis denounces the presence of a risk premium, of market inefficiency or both. The results suggest the Brazilian forward exchange market is not efficient.

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.

在台灣，遠期外匯可分為有本金遠期外匯(DF)及無本金遠期外匯(NDF)，其中無本金遠期外匯為銀行與客戶訂定之無標準化規格契約， 其特色是在契約到期時，交易雙方僅就約定之匯率差額進行交割，不須交割本金。此特色也使得避險或是投機時較為節省資金成本， 故NDF在台灣遠期外匯市場的交易量有逐漸增加的趨勢。 然而在理性預期下，不論是DF或是NDF都應該是即期匯率的最佳預測值，即所謂的市場效率性。傳統統計方法通常用線性迴歸來檢定市場效率性， 但卻常推估出互相衝突的結論。本文利用Kalman approach推估遠期外匯之貼水，希望藉此觀察出不同時間點，台灣遠期外匯市場的效率性。 研究結果發現台灣遠期外匯之貼水在金融風暴之後呈現穩定，表示此時間內台灣外匯市場具有效率性。 另外，在金融風暴之後NDF貼水之波動較DF而且為大，表示程度上NDF較不具效率性，可能跟NDF之投機性交易較多有關係。 雖然如此，NDF市場之投機交易，並沒有使NDF之貼水波動達到無效率的地步，故建議央行可逐步放寬對NDF交易之限制， 以促進市場交易之健全。 / The forward exchange are divided into deliverable forward(DF) and non-deliverable forward(NDF) exchange in Taiwan . NDFs are foreign exchange derivative products traded over the counter. The parties of the NDF contract settle the transaction, not by delivering the underlying pair of currencies, but by making a net payment in a convertible currency proportional to the difference between the agreed forward exchange rate and the subsequently realised spot fixing. Under the rational expectation of foreign traders, not only DF exchange rate but also NDF will be the best predictor of the spot exchange. Tradional statistics methods use linear regressions to test whether the markets are efficiency or not. However, this study consider a Kalman approach to estimate the model and predict the spot exchange rate. The results can be found by observing the estimated premia: first, the premia show a certain degree of persistence after the Asian crisis. Second, the premium of NDF rate is more fluctuated than DF rates after the Asian crisis. It may present that the Non-deliverable forward exchange market in Taiwan has many speculative transactions. However, considering the process what we analyze the difference between the future spot rates and forward rates, it seems that the forward exchange markets in Taiwan have efficiency because of their persistence over time. Since the speculative transactions have no enough power to make the NDF markets inefficient, the Central Bank of Taiwan may suggest cancel the restrictions of NDF transactions.

Master´s thesis deals with possibilities of exchange rates risk reduction in the company FLÍDR, s.r.o. Exchange rate volatility has begun to be a serious problem of many business entities. Unfortunately, the Czech Republic will not join Economic and Monetary Union of the European Union for longer time. The outcome of Master´s thesis is the suggestion of utilization of financial derivatives and proposal of new financial derivatives. Proposed financial derivatives are composed to minimize exchange rate risk in the company FLÍDR, s.r.o., and to minimize losses caused by exchange rate volatility of Euro currency.

[pt] Tradicionalmente, muitos trabalhos têm estudado os efeitos das intervenções cambiais esterilizadas nas taxas de câmbio, tanto empiricamente quanto teoricamente, encontrando resultados mistos. Mais recentemente, a literatura de finanças internacionais têm procurado explicar os desvios na Paridade Coberta da Taxa de Juros (PCJ), que vem sendo observado entre as moedas das economias desenvolvidas após a Grande Crise Financeira de 2008. Neste trabalho, ligamos as duas literaturas ao estudar o efeito das intervenções cambiais nos desvios na paridade coberta de juros. Nossa amostra consiste nas intervenções realizadas pelo Banco Central do Brasil entre os anos de 2009 e 2020. Este período contempla o programa de intervenções pré-anunciadas de 2013, implementado no contexto do Taper Tantrum, e que já mostrou ter afetado significantemente as taxas de câmbio (Chamon, Garcia e Souza (2017) ). Para avaliar os efeitos, construímos uma série contrafactual utilizando a metodologia ArCo, desenvolvida por Carvalho, Masini e Medeiros (2018), e também estimando funções impulso resposta utilizando Local Projection, desenvolvida por Jordà (2005). Os resultados indicam que a venda de dólares no mercado futuro aumentam os desvios na PCJ, enquanto que compras de dólares tem o efeito oposto. A oferta de dólares via contratos de recompra diminui os desvios no curto prazo. As intervenções no mercado a vista apresentam resultados inconclusivos. / [en] Traditionally, much has been written about the effects of FX (foreign exchange) sterilized interventions on exchange rates, both theoretically and empirically, with mixed results. More recently, the international finance literature has tried to explain the deviations from the well-known Covered Interest Parity (CIP) condition that have, since the 2008 Great Financial Crisis, arisen among advanced economies currencies. Here, we originally merge these two strands of the literature by analyzing the effects of sterilized FX interventions on the CIP (Covered Interest Parity) deviation. Our sample is composed of Brazilian Central Bank FX interventions between 2009 and 2020. This period contains a major program of announced FX interventions in response to the Taper Tantrum, in 2013, which has already been shown to have significantly affected the level of the exchange rate (Chamon, Garcia, and Souza (2017)). To gauge the effects, we build a counterfactual employing the ArCo methodology, developed by Carvalho, Masini, and Medeiros (2018), and also make use of Jordà (2005) Local Projections. The results indicate that selling US dollars in the futures market increases CIP deviations while buying US dollar futures has the opposite effect. Offering US dollar repo credit lines points to a short-lived decrease in the deviation. The number of sterilized sales or purchases of spot currency seems not to be high enough to lead to conclusive results.

Dans le premier chapitre, nous avons travaillé sur l’impact d’une réévaluation réelle de la monnaie chinoise sur ses excédents commerciaux. Nous avons suggéré une nouvelle approche pour mesurer cet impact, en utilisant des données de panel relatives aux exportations et aux importations des entreprises à capitaux étrangers et domestiques implantées dans vingt-et-huit provinces chinoises. Nous avons constaté que l’effet d’une réévaluation du Yuan sur les exportations et les importations était plus accentué après l’accession de la Chine à l’OMC. Enfin, d’autres facteurs comme le taux de change nominal et les prix relatifs entrent en jeu dans l’explication de la dynamique des exportations et des importations de la Chine.Dans le deuxième chapitre, nous avons étudié les effets spatiaux sur les exportations et les importations provinciales des entreprises multinationales et domestiques. Nous avons utilisé trois différentes matrices de poids spatiales et maintenu la même division de période qu’au premier chapitre. La méthodologie d’estimation spatiale utilisée a révélé des effets spatiaux importants sur les exportations et les importations des deux types d’entreprises, mais a aussi permis de faire un état des lieux sur l’intégration du marché domestique de la Chine. Dans le troisième chapitre, nous avons étudié les flux de capitaux vers la Chine déguisés en valeur d’échanges commerciaux. Nous avons proposé une nouvelle approche en utilisant les prix des produits échangés les plus susceptibles à la manipulation et étudié leur sensibilité à l’anticipation d’une réévaluation future de la monnaie chinoise. Nous avons trouvé que la balance commerciale de la Chine était surestimée. / In the first chapter, we investigate the impact of a revaluation of the China’s Yuan on its trade balance. We use panel data on export and import of multinational and domestic firms, disaggregated at a regional level in the period 1996-2012.We find significant impact of a revaluation of the Yuan on export and import, the impact differs regionally, time period, and by firms. We also find that other factors like nominal exchange rate and relative prices play significant role in explaining China’s trade balance.In the second chapter, we investigate the spatial effects on China’s trade performance. In fact, we use the same data as in the first essay.We use three different weight matrices to take into account the dynamism in the China’s decentralization policies.We find significant spatial effects on export and import, varying between firms, regions and time period. This essay also reveals important facts on the China’s domestic market integration. In the last chapter, we put forth a new approach to measure capital inflows into China hidden in the regular trade flows. This phenomenon known as trade misinvoicing is suspected to actually overstate China’s trade surpluses.We measure the sensitivity of the prices for some commodities which are the most susceptible to trade misinvoicing to the non-deliverable forward exchange rate for the Yuan in Hong-Kong. We find that, in fact China’s trade balance is relatively overestimated.

The inability to effectively hedge against unfavourable exchange rate movements, using the current forward exchange rate as the only guideline, is a key inhibiting factor of international trade. Market participants use the current forward exchange rate quoted in the market to make decisions regarding future exchange rate changes. However, the current forward exchange rate is not solely determined by the interaction of demand and supply, but is also a mechanistic estimation, which is based on the current spot exchange rate and the carry cost of the transaction. Results of various studies, including this study, demonstrated that the current forward exchange rate differs substantially from the realized future spot exchange rate. This phenomenon is known as the exchange rate puzzle. This study contributes to the dynamics of modelling exchange rate theories by developing an exchange rate model that has the ability to explain the realized future spot exchange rate and the exchange rate puzzle. The exchange rate model is based only on current (time t) economic fundamentals and includes an alternative approach of incorporating the impact of the interaction of two international financial markets into the model. This study derived a unique exchange rate model, which proves that the exchange rate puzzle is a pseudo problem. The pseudo problem is based on the generally excepted fallacy that current non–stationary, level time series data cannot be used to model exchange rate theories, because of the incorrect assumption that all the available econometric methods yield statistically insignificant results due to spurious regressions. Empirical evidence conclusively shows that using non–stationary, level time series data of current economic fundamentals can statistically significantly explain the realized future spot exchange rate and, therefore, that the exchange rate puzzle can be solved. This model will give market participants in the foreign exchange market a better indication of expected future exchange rates, which will considerably reduce the dependence on the mechanistically derived forward points. The newly derived exchange rate model will also have an influence on the demand and supply of forward exchange, resulting in forward points that are a more accurate prediction of the realized future exchange rate. / Thesis (Ph.D. (Risk management))--North-West University, Potchefstroom Campus, 2011.

The inability to effectively hedge against unfavourable exchange rate movements, using the current forward exchange rate as the only guideline, is a key inhibiting factor of international trade. Market participants use the current forward exchange rate quoted in the market to make decisions regarding future exchange rate changes. However, the current forward exchange rate is not solely determined by the interaction of demand and supply, but is also a mechanistic estimation, which is based on the current spot exchange rate and the carry cost of the transaction. Results of various studies, including this study, demonstrated that the current forward exchange rate differs substantially from the realized future spot exchange rate. This phenomenon is known as the exchange rate puzzle. This study contributes to the dynamics of modelling exchange rate theories by developing an exchange rate model that has the ability to explain the realized future spot exchange rate and the exchange rate puzzle. The exchange rate model is based only on current (time t) economic fundamentals and includes an alternative approach of incorporating the impact of the interaction of two international financial markets into the model. This study derived a unique exchange rate model, which proves that the exchange rate puzzle is a pseudo problem. The pseudo problem is based on the generally excepted fallacy that current non–stationary, level time series data cannot be used to model exchange rate theories, because of the incorrect assumption that all the available econometric methods yield statistically insignificant results due to spurious regressions. Empirical evidence conclusively shows that using non–stationary, level time series data of current economic fundamentals can statistically significantly explain the realized future spot exchange rate and, therefore, that the exchange rate puzzle can be solved. This model will give market participants in the foreign exchange market a better indication of expected future exchange rates, which will considerably reduce the dependence on the mechanistically derived forward points. The newly derived exchange rate model will also have an influence on the demand and supply of forward exchange, resulting in forward points that are a more accurate prediction of the realized future exchange rate. / Thesis (Ph.D. (Risk management))--North-West University, Potchefstroom Campus, 2011.