Exchange Rate Risk Estimates of the Foreign Contracted Projects Based on the Model of VaR

2014 ◽  
Vol 638-640 ◽  
pp. 2327-2331
Author(s):  
Li Zhu Zhao ◽  
Rui Qiang Bai ◽  
Yu Peng Shao
Keyword(s):  
Exchange Rate ◽  
Rapid Development ◽  
Simulation Method ◽  
Engineering Industry ◽  
Exchange Rate Risk ◽  
Rate System ◽  
Historical Simulation ◽  
Rate Risk ◽  
Floating Exchange Rate ◽  
The Exchange Rate

China implements a floating exchange rate system after reforming the exchange rate mechanism in 2005. So far, nearly eight years, the RMB against the U.S. dollar increased from 8.2:1 to 6.1:1. Exchange rate risk of China's foreign contracted engineering industry has become a serious problem in the rapid development of the industry situation, this paper established exchange rate forecasting model base on the model of VaR through analysis the daily average exchange rate from July 22, 2005 to September 30, 2013, and estimate the rate of return by using the variance - covariance, historical simulation method, providing a theoretical basis for avoiding the exchange rate risk of China's foreign contracted projects.

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>

Exchange-Rate Exposure of Taiwanese Exporting Firms

2000 ◽  
Vol 03 (02) ◽  
pp. 201-233 ◽  
Author(s):  
Chaoshin Chiao ◽  
Ken Hung
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Firm Size ◽  
Exchange Rate Risk ◽  
Time Varying ◽  
Exporting Firms ◽  
Exchange Rate Exposure ◽  
Rate Risk ◽  
The Exchange Rate ◽  
The Government

The purpose of this paper is to investigate the exchange-rate exposure of Taiwanese exporting firms. Particularly, we consider the effects of the timing of the three liberalization events through which the government carried out explicit policies to open gradually its foreign exchange and stock markets. First, we cannot corroborate that most exporting firms are individually exposed to exchange-rate risk. However, we cannot reject that the exporting firms are jointly exposed to exchange-rate risk in all sub-periods. Second, the timing of the three liberalization events greatly affects the exchange-rate exposure of Taiwanese exporting firms. Finally, the determinants of possibly time-varying exchange-rate exposure of exporting firms are exports-to-sales ratio, firm size, and the timing of the three liberalization events.

scholarly journals Análise de estratégias de hedge simultâneo para a produção de soja no Centro-Oeste

2012 ◽  
Vol 38 (2) ◽  
Author(s):  
Waldemar Antonio da Rocha de Souza ◽  
João Gomes Martines-Filho ◽  
Pedro Valentim Marques
Keyword(s):  
Exchange Rate ◽  
Strategic Management ◽  
Risk Mitigation ◽  
Price Risk ◽  
Exchange Rate Risk ◽  
Total Revenue ◽  
Soybean Production ◽  
Hedging Strategies ◽  
Rate Risk ◽  
The Exchange Rate

Objetivou-se avaliar o hedge simultâneo para a produção de soja do Centro-Oeste com contratos futuros de preço e taxa de câmbio da BOVESPA/BM&F, usando um modelo de hedge simultâneo do risco de preços e taxa de câmbio. Calcularam-se as eficiências de diferentes estratégias de hedge. As principais conclusões foram que o hedge simultâneo de risco de preços e taxa de câmbio reduz de forma acentuada o risco da receita total comparativamente ao hedge de preços isolado. A mitigação do risco de taxa de câmbio em conjunto com o de preços é fundamental para uma  gestão estratégica dos exportadores de commodities.Abstract: The aim was to evaluate the simultaneous hedge for the Western Central soybean production with BM&F/BOVESPA price and exchange rate futures using a model of simultaneous price and exchange rate risk hedge. We calculated the efficiencies of different hedging strategies. The main conclusions were that simultaneously hedging price and exchange rate risk sharply reduces the total revenue risk compared to price hedge alone. The joint risk mitigation of the exchange rate together with price risk is key to strategic management for commodity exporters.

scholarly journals Management of Exchange Rate Risk in SMEs

2020 ◽  
Vol 3 (6) ◽  
pp. 35-49
Author(s):  
Imtiaz Badshah ◽  
Trond-Arne Borgersen
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Risk ◽  
Listed Firms ◽  
Exchange Rate Fluctuations ◽  
Rate Risk ◽  
Operational Hedging ◽  
The Exchange Rate ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Management Challenge

Exchange rate fluctuations represent a challenge for the internationalization of all firms, both big and small. This paper reflects on two aspects of the exchange rate challenge - (i) the exchange rate pass-through and (ii) hedging of exchange rate risk and how SMEs manage these two aspects of exchange rate risk. The exchange rate challenges that SMEs face might differ from the risks larger firms are exposed to, and their management of the risks might vary. In family-owned SMEs, longer planning horizons than listed firms might imply a weaker exchange rate pass-through, while smaller financial buffers might pull pass-through rules in the opposite direction for the same SMEs. When considering hedging, the paper argues for both operational hedging and external hedging to represent a management challenge for SMEs, pushing the exchange rate risk towards the forefront of the factors hampering internationalization among SMEs.

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