Showing 1 - 10 of 505
Persistent link: https://www.econbiz.de/10005397042
The aim of this study is to analyze the importance of the elasticity of risk aversion with regard to an increase in exchange rate risk for exports and hedging in an international firm. Mean-variance preferences allow for an immediate study of the entailed substitution and income effect. These...
Persistent link: https://www.econbiz.de/10011199875
Due to globalization competitive firms face increasing economic opportunities for locating their activities in countries, regions and cities that provide the best business environment for their specific needs. In our study we focus on the impact of economic risk and risk preferences upon...
Persistent link: https://www.econbiz.de/10010984383
Die vorliegende Arbeit untersucht ein Duopol bei unsicherer Nachfrage unter Risikoaversion. Die Produktion der gesamten Industrie fällt durch die Einführung von Nachfrageunsicherheit; der Marktpreis steigt wegen des schwächeren Wettbewerbs. Damit ist die Veränderung des Gewinns und des...
Persistent link: https://www.econbiz.de/10010984384
In this paper we consider a risk averse multinational firm under exchange rate risk. We analyze the impact of exchange rate risk and of the use of currency forwards upon the firm's global market decisions with respect to international firm-specific capital allocation and direct foreign...
Persistent link: https://www.econbiz.de/10010958295
We study the impact of exchange rate risk on an exporting firm in a developing country when there is no forward market in the foreign currency. However there exists a forward traded asset in this country the price of which is highly correlated to the foreign currency. By indirectly hedging its...
Persistent link: https://www.econbiz.de/10010958324
We derive a class of utility functions that are equivalent with respect to a well-defined functional form. We apply a general view of constant relative risk aversion to investigate on different equivalence relations. Then we compare our results with standard applications in economics and finance.
Persistent link: https://www.econbiz.de/10010958408
This paper presents a model of a competitive risk-averse exporting firm under exchange rate risk. We show that export and hedging decisions can be separated if futures and currency options are available. A full hedge of uncertain export revenue occurs if the futures market is unbiased and the...
Persistent link: https://www.econbiz.de/10010958432
This paper presents a model of a competitive risk averse exporting firm under exchange rate uncertainty. If forward market contracts are available neither the distribution parameters of the exchange rate nor the degree of the firm's risk aversion have any impact on the export level. But this...
Persistent link: https://www.econbiz.de/10010958447
The paper focusses on currency options as financial hedging instrumenta. Since currency forwards imply the well-known Separation result, it follows for arbitragefree hedging markets that Separation must also hold in option markets if the traded options allow for con-structing a synthetical...
Persistent link: https://www.econbiz.de/10010958452