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Exchange Rate Risk Measurement and Management : Issues and Approaches for Firms
Papaioannou, Michael G - 2006
RATE RISK -- IV. MANAGEMENT OF EXCHANGE RATE RISK -- V. HEDGING INSTRUMENTS FOR MANAGING EXCHANGE RATE RISK -- VI. HEDGING …
Persistent link: https://www.econbiz.de/10012691150
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Exchange Rate Risk Measurement and Management; Issues and Approaches for Firms
Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006
passive versus active hedging. In addition, it outlines a set of widely accepted best practices in managing currency risk and … presents some of the main hedging instruments in the OTC and exchange-traded markets. The paper also provides some data on the … use of financial derivatives instruments, and hedging practices by U.S. firms. …
Persistent link: https://www.econbiz.de/10005825991
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FX Swaps; Implications for Financial and Economic Stability
Ong, Li L.; Barkbu, Bergljot - International Monetary Fund (IMF) - 2010
The proliferation of foreign exchange (FX) swaps as a source of funding and as a hedging tool has focused attention on … instrument itself, we show that the use of FX swaps for funding and hedging purposes is not infallible, especially during periods …
Persistent link: https://www.econbiz.de/10008519490
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Hedging Foreign Exchange Risk in Chile; Markets and Instruments
Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2005
Policy makers have expressed interest in fostering the development of local foreign exchange derivatives markets with a view to reducing risks arising from currency mismatches between assets and liabilities in the corporate sector. This paper assesses foreign exchange exposure in the corporate...
Persistent link: https://www.econbiz.de/10005599533
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The International Diversification Puzzle when Goods Prices Are Sticky; It's Really About Exchange-Rate Hedging, not Equity Portfolios
Matsumoto, Akito; Engel, Charles - International Monetary Fund (IMF) - 2009
This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some nominal goods prices are sticky. Trade in these assets achieves the same allocations as trade in a complete set of nominal...
Persistent link: https://www.econbiz.de/10005599743
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Credit Risk Spreads in Local and Foreign Currencies
Wiener, Zvi - 2009
The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign currency borrowing is cheaper when the exchange rate is positively correlated with the...
Persistent link: https://www.econbiz.de/10012677782
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U.S. Dollar Risk Premiums and Capital Flows.
Balakrishnan, Ravi - 2006
Intro -- Contents -- I. INTRODUCTION AND SUMMARY -- II. WHAT ARE RISK PREMIUMS ON THE DOLLAR AND HOW CAN WE MEASURE THEM? -- III. CAPITAL FLOWS AND RISK PREMIUMS -- IV. EXPLAINING RISK PREMIUM MOVEMENTS -- V. CONCLUSIONS AND POLICY IMPLICATIONS -- DATA AND REGRESSION METHODOLOGY -- References.
Persistent link: https://www.econbiz.de/10012691012
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Currency Risk Premia in Global Stock Markets.
Roache, Shaun K - 2006
Intro -- Contents -- I. INTRODUCTION -- II. PREVIOUS LITERATURE -- III. MODEL SPECIFICATION -- IV. ESTIMATION -- V. DATA AND PRELIMINARY STATISTICS -- VI. MAIN RESULTS -- VII. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691179
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Currency Risk Premia in Global Stock Markets
Merritt, Matthew D.; Roache, Shaun K. - International Monetary Fund (IMF) - 2006
assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available …
Persistent link: https://www.econbiz.de/10005826109
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International Risk Sharing; Through Equity Diversification or Exchange Rate Hedging?
Matsumoto, Akito; Engel, Charles - International Monetary Fund (IMF) - 2009
Well-known empirical puzzles in international macroeconomics concern the large divergence of equilibrium outcomes for consumption across countries from the predictions of models with full risk sharing. It is commonly believed that these risk-sharing puzzles are related to another empirical...
Persistent link: https://www.econbiz.de/10008528624