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Export production under exchange rate uncertainty

Broll, Udo; Gilroy, B. Michael; Lukas, Elmar - 2008

Given that a multinational enterprise can react flexibly upon exchange rate movements, international trade flows may be interpreted as an option. An enterprise will opt to export if the profits obtained from exporting under given exchange rate developments are greater than if foreign subsidiary...

Persistent link: https://www.econbiz.de/10010300614

Export production, hedging exchange rate risk: the duopoly case

Broll, Udo; Wahl, Jack E.; Wessel, Christoph - 2008

This paper studies a Cournot duopoly in international trade so that the firms are exposed to exchange rate risk. A hedging opportunity is introduced by a forward market where the foreign currency can be traded on. We investigate two settings: First we assume that hedging and output decisions are...

Persistent link: https://www.econbiz.de/10010300615

Modelling information and hedging: the exporting firm

Broll, Udo; Eckwert, Bernhard - 2009

The paper examines the economic role of modelling information on the decision problem of an exporting firm under exchange rate risk and hedging. Information is described in terms of market transparency, i.e., a publicly observable signal conveys more information about the random foreign exchange...

Persistent link: https://www.econbiz.de/10010300624

Mitigation of foreign Direct investment risk and hedging

Wahl, Jack E.; Broll, Udo - 2009

Instruments of risk mitigation play an important role in managing country risk within the foreign direct investment (FDI) decision. Our study assesses country risk by state-dependent preferences and introduces futures contracts as a tool of risk mitigation. We show that country risk assessments...

Persistent link: https://www.econbiz.de/10010301354

Spatial allocation of capital: The role of risk preferences

Broll, Udo; Roldán-Ponce, Antonio; Wahl, Jack E. - 2010

This paper considers a model of spatial allocation of investment capital under uncertainty. We demonstrate that the spatial concentration of economic activity depends upon properties of risk preferences deeper than risk aversion. The degree of so-called relative prudence unambiguously decides...

Persistent link: https://www.econbiz.de/10010301356

Prospect theory and hedging risks

Broll, Udo; Egozcue, Martín; Wong, Wing-Keung; … - 2010

The prospect theory is one of the most popular decision-making theories. It is based on the S-shaped utility function …, unlike the von Neumann and Morgenstern (NM) theory, which is based on the concave utility function. The S-shape brings in … mathematical challenges: simple extensions and generalizations of NM theory into the prospect theory cannot be frequently achieved …

Persistent link: https://www.econbiz.de/10010301357

Güterwirtschaftliches Risikomanagement: Ein Entscheidungsmodell zur Lagerpolitik bei Unsicherheit

Wahl, Jack E.; Broll, Udo - 2009

Wir untersuchen für ein internationales Unternehmen das Zusammenwirken von finanz- und realwirtschaftlichem Risikomanagement. Dies geschieht auf der Grundlage eines intertemporalen, stochastischen Entscheidungsmodells. Die gemeinsame Betrachtung von Devisen-Futures und Lagerhaltung bestätigt...

Persistent link: https://www.econbiz.de/10010301360

Strategic pricing of financial options

Bieta, Volker; Broll, Udo; Milde, Hellmuth; Siebel, Wilfried - 2009

need an approach explaining interdependent actions. Game theory is in a position to offer proper olutions. This paper …

Persistent link: https://www.econbiz.de/10010301361

The firm under uncertainty: capital structure and background risk

Broll, Udo; Wong, Keith K.P. - 2010

This paper examines the interplay between the real and financial decisions of the competitive firm under output price uncertainty. The firm faces additional sources of uncertainty that are aggregated into a background risk. We show that the firm always chooses its optimal debt-equity ratio to...

Persistent link: https://www.econbiz.de/10010301363

Liquidity constrained exporters: Trade and futures hedging

Broll, Udo; Wahl, Jack E. - 2009

We present a model of risk averse exporting firm subject to liquidity constraints. The firm enters an unbiased futuresmarket to hedge exchange rate risk and may not be able to satisfy high margin calls. Then the firm is forced toprematurely liquidate the futures position. We show that...

Persistent link: https://www.econbiz.de/10010301364