Export, Exchange Rate Risk and Hedging: The Duopoly Case

2011 ◽  
Vol 12 (4) ◽  
pp. 490-502 ◽  
Author(s):  
Udo Broll ◽  
Jack E. Wahl ◽  
Christoph Wessel
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Risk Exposure ◽  
Exchange Rate Risk ◽  
Cournot Duopoly ◽  
Forward Market ◽  
Rate Risk

Abstract This paper studies a Cournot duopoly in international trade with firms exposed to exchange rate risk. A hedging opportunity is introduced by a forward market on which one firm can trade the foreign currency.We investigate two settings: First, we assume that hedging and output decisions are taken simultaneously. It is shown that hedging is exclusively done for risk-managing reasons as it is not possible to use hedging strategically. Second, the hedging decision is made before the output decisions. We show that hedging is not only used to manage the risk exposure but also as a strategic device.

Exchange rate risk and international trade: The role of third country effect

2018 ◽  
Vol 167 ◽  
pp. 152-155 ◽  
Author(s):  
Cengiz Tunc ◽  
M. Nihat Solakoglu ◽  
Senol Babuscu ◽  
Adalet Hazar
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Exchange Rate Risk ◽  
Rate Risk ◽  
Country Effect

scholarly journals Unanticipated Exchange Rate Risk And U.S. Imports

2011 ◽  
Vol 10 (4) ◽  
pp. 19
Author(s):  
Abdul H. Sukar
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Error Correction ◽  
Negative Impact ◽  
Exchange Rate Risk ◽  
Controversial Issues ◽  
Rate Risk ◽  
Significant Negative Impact ◽  
The Exchange Rate ◽  
The Relationship

<span>The effect of exchange rate risk on trade is one of the more controversial issues in international trade. This paper uses cointegration and error-correction approach to investigate the relationship between unanticipated exchange rate risk and U.S. imports over the period 1974:1-1992:4. The major finding of this study is that the exchange rate risk has a significant negative impact on U.S. imports.</span>

scholarly journals Exchange rate risk exposure and the value of European firms

2015 ◽  
Vol 23 (2) ◽  
pp. 111-129 ◽  
Author(s):  
Fabio Parlapiano ◽  
Vitali Alexeev ◽  
Mardi Dungey
Keyword(s):  
Exchange Rate ◽  
Risk Exposure ◽  
Exchange Rate Risk ◽  
Rate Risk

scholarly journals An analysis of exchange rate risk exposure related to the public debt portfolio of Tunisia: Beyond VaR approach

2012 ◽  
Vol 59 (1) ◽  
pp. 59-87 ◽  
Author(s):  
Samia Omrane
Keyword(s):  
Exchange Rate ◽  
Public Debt ◽  
Value At Risk ◽  
Risk Exposure ◽  
Exchange Rate Risk ◽  
The Public ◽  
Var Analysis ◽  
Rate Risk ◽  
Exchange Risk ◽  
Japanese Yen

The aim of this study is to assess the exchange rate risk associated with the Tunisian public debt portfolio through Value-at-Risk (VaR) methodology. We use daily spot exchange rates of the Tunisian dinar against the three main debt currencies, the dollar, the euro and the yen. Our period of interest is from 02/01/2004 to 31/12/2008. Thetas and Marginal VaR analysis reveal that Japanese yen is the most risky currency constituting the Tunisian public debt portfolio. American dollar appears as a source of risk for the Tunisian external debt but remains less risky than the yen, while, the euro constitutes a hedge currency for exchange risk management associated with the Tunisian public debt portfolio.

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