scholarly journals Exchange Rates, Foreign Currency Exposure and Sovereign Risk

2019 ◽  
Author(s):  
Kerstin Bernoth ◽  
Helmut Herwartz
Keyword(s):  
Exchange Rates ◽  
Foreign Currency ◽  
Sovereign Risk ◽  
Currency Exposure

scholarly journals Exchange Rates, Foreign Currency Exposure and Sovereign Risk

2021 ◽  
pp. 102454
Author(s):  
Kerstin Bernoth ◽  
Helmut Herwartz
Keyword(s):  
Exchange Rates ◽  
Foreign Currency ◽  
Sovereign Risk ◽  
Currency Exposure

scholarly journals Foreign Currency Risk Management Practices In U.S. Multinationals

2011 ◽  
Vol 13 (2) ◽  
pp. 73 ◽  
Author(s):  
Stephen D. Makar ◽  
Stephen P. Huffman
Keyword(s):  
Risk Management ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Management Practices ◽  
Foreign Currency ◽  
Multinational Companies ◽  
Currency Risk ◽  
Currency Exposure ◽  
Industry Membership

<span>Todays multinational companies face potentially significant economic exposure to changing exchange rates. One way to manage such currency risk is through the use of foreign exchange derivatives. This paper examines how foreign exchange derivatives are used by U.S. multinationals. Recent studies report that the use of foreign exchange derivatives varies across U.S. multinationals and may depend on a variety of influences, including industry membership. We develop a model to explain these variations in the amounts of derivatives used in terms of differences in foreign currency exposure. The results are consistent with our expectations. In particular, the evidenced pertaining to a sample of 654 U.S. multinationals for the 1990-1994 period indicates that the notional amounts of foreign exchange derivatives are positively associated with the degree of foreign involvement, which proxies foreign currency exposure. Moreover, the results are not sensitive to industry membership or other interfirm differences. The findings of this paper are important because they contribute to a better understanding of the foreign currency risk management practices in U.S. multinationals.</span>

An Exposition on Foreign Currency Exposure

2014 ◽  
Author(s):  
Prabakaran Sellamuthu ◽  
J.P. Singh
Keyword(s):  
Foreign Currency ◽  
Currency Exposure

MOTIVES FOR CORPORATE HEDGING: EVIDENCE FROM THE UK

2005 ◽  
Vol 01 (01) ◽  
pp. 0550003 ◽  
Author(s):  
EPHRAIM CLARK ◽  
AMRIT JUDGE
Keyword(s):  
Risk Management ◽  
Financial Distress ◽  
Economies Of Scale ◽  
Foreign Currency ◽  
Annual Reports ◽  
Data Sets ◽  
Growth Options ◽  
Corporate Hedging ◽  
Currency Exposure ◽  
The Uk

In this paper, we use survey data and data from annual reports to identify the determinants of hedging activity of United Kingdom (UK) firms in the context of an overall program of risk management. Comparing the two sets of data makes it possible to identify misclassified firms, that is, firms whose hedging claims are not consistent across the two data sets. Our results on the consistent data show that the likelihood of hedging is related to growth options, foreign currency exposure, liquidity and economies of scale in hedging costs. Contrary to many previous US studies, we also find strong evidence linking the decision to hedge and the expected costs of financial distress. Results for the misclassified firms suggest that they are actually hedgers that hedge less extensively than the correctly classified (CC) hedgers.

Why hedge currency exposure with foreign currency debt?

2013 ◽  
Vol 26 (2) ◽  
pp. 258-289 ◽  
Author(s):  
Milagros Vivel‐Búa ◽  
Luis Otero‐González ◽  
Sara Fernández‐López ◽  
Pablo Durán‐Santomil
Keyword(s):  
Foreign Currency ◽  
Currency Exposure ◽  
Foreign Currency Debt

scholarly journals Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana

Risks ◽  
2020 ◽  
Vol 8 (2) ◽  
pp. 55
Author(s):  
Prince Osei Mensah ◽  
Anokye M. Adam
Keyword(s):  
Exchange Rates ◽  
Foreign Currency ◽  
Tail Dependence ◽  
Time Range ◽  
Dependence Structure ◽  
Joint Movement ◽  
Positive Dependence ◽  
Study Results ◽  
Foreign Currencies ◽  
Dependence Measures

This paper examines the joint movement and tail dependence structure between the pair of foreign exchange rates (EUR, USD and GBP) against the GHS, using daily exchange rates data expressed in GHS per unit of foreign currencies (EUR, USD and GBP) between the time range of 24 February 2009 and 19 December 2019. We use different sets of both static (time-invariant) and time-varying copulas with different levels of dependence and tail dependence measures, and the study results reveal positive dependence between all exchange rates pairs, though the dependencies for EUR-USD and GBP-USD pairs are not as strong as the EUR-GBP pair. The findings also reveal symmetric tail dependence, and dependence evolves over time. Notwithstanding this, the asymmetric tail dependence copulas provide evidence of upper tail dependence. We compare the copula results to DCC(1,1)-GARCH(1,1) model result and find the copula to be more sensitive to extreme co-movement between the currency pairs. The afore-mentioned findings, therefore, offer forex market players the opportunity to relax in hoarding a particular foreign currency in anticipation of domestic currency depreciation.

scholarly journals Exchange Rates and Liquidity Risk

2020 ◽  
Vol 11 (2) ◽  
pp. 159
Author(s):  
Martin D.D. EVANS
Keyword(s):  
Risk Factors ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Currency ◽  
Liquidity Risk ◽  
Risk Premia ◽  
Time Varying ◽  
Foreign Exchange Risk ◽  
Exchange Risk

I use Forex trading data to study how risks associated with the lack of liquidity contribute to the dynamics of 17 spot exchange rates through their time-varying contributions to risk premia. I find that liquidity risk matters. All the foreign exchange risk premia compensate investors for exposure to liquidity risk; and, for many currencies, exposure to liquidity risk appears to be more important than exposure to the traditional carry and momentum risk factors. I also find that variations in the price of liquidity risk make economically important contributions to the behavior of individual foreign currency returns: they account for approximately 34%, on average, of the variability in currency returns compared to the contribution of approximately 8% from the prices of carry and momentum risk.

scholarly journals Choice Of Functional Currency Under SFAS No. 52

2011 ◽  
Vol 4 (4) ◽  
pp. 21
Author(s):  
Ahmad Hosseini ◽  
Zabihollah Rezaee
Keyword(s):  
Exchange Rates ◽  
Multinational Corporations ◽  
Foreign Currency ◽  
Financial Statements ◽  
Cash Flows ◽  
Selection Of

The purpose of this study is to determine the importance of various factors in the choice of the functional currency used by 400 major multinational corporations Selection of functional currency is a key feature of SFAS No. 52 because it determines the method used to translate foreign currency financial statements into U.S. dollars and the extent to which changes in exchange rates affect consolidated operating results. The results reveal that cash flows and sales market were the two most important factors, while financing and intercompany transactions were the least important criteria in selecting the functional currency.

scholarly journals Does sovereign risk in local and foreign currency differ?

2020 ◽  
Vol 101 ◽  
pp. 102099
Author(s):  
Marlene Amstad ◽  
Frank Packer ◽  
Jimmy Shek
Keyword(s):  
Foreign Currency ◽  
Sovereign Risk
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