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Modelling information and hedging: the exporting firm
Broll, Udo; Eckwert, Bernhard - Fakultät Wirtschaftswissenschaften, Technische … - 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/10009226183
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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
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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/10003841933
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The banking firm under ambiguity aversion
Broll, Udo; Welzel, Peter; Wong, Kit Pong - 2016
We examine risk taking when the bank's preferences exhibit smooth ambiguity aversion. Ambiguity is modeled by a second … return risk. Ambiguity preferences are modeled by the (second-order) expectation of a concave transformation of the (first … banking firm finds it less attractive to take risk in the presence than in the absence of ambiguity. This result extends to …
Persistent link: https://www.econbiz.de/10011539567
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Ambiguity and the incentive to export
Broll, Udo; Wong, Kit Pong - 2014
uncertainty when the firm's preferences exhibit smooth ambiguity aversion. Ambiguity is modeled by a second-order probability … distribution that captures the firm's uncertainty about which of the subjective beliefs govern the exchange rate risk. Ambiguity … ambiguity has no impact on the firm's propensity to export to a foreign country. Ambiguity and ambiguity aversion, however, are …
Persistent link: https://www.econbiz.de/10011521872
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The banking firm under ambiguity aversion
Broll, Udo; Welzel, Peter; Kit, Pong Wong - 2016
We examine risk taking when the bank's preferences exhibit smooth ambiguity aversion. Ambiguity is modeled by a second … return risk. Ambiguity preferences are modeled by the (second-order) expectation of a concave transformation of the (first … banking firm finds it less attractive to take risk in the presence than in the absence of ambiguity. This result extends to …
Persistent link: https://www.econbiz.de/10011541280
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Ambiguity and the incentive to export
Broll, Udo; Kit, Pong Wong - 2014
uncertainty when the firm's preferences exhibit smooth ambiguity aversion. Ambiguity is modeled by a second-order probability … distribution that captures the firm's uncertainty about which of the subjective beliefs govern the exchange rate risk. Ambiguity … ambiguity has no impact on the firm's propensity to export to a foreign country. Ambiguity and ambiguity aversion, however, are …
Persistent link: https://www.econbiz.de/10011521686
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Financial intermediation and endogenous risk in the banking sector
Broll, Udo; Eckwert, Bernhard; Eickhoff, Andreas - In: Economic Modelling 29 (2012) 5, pp. 1618-1622
The paper revisits the impact of uncertainty on the decision problem of a bank. The bank extends risky loans to private investors and sells deposits to savers at fixed rates. The uncertainty under which deposit/loan-portfolios are chosen by banks is endogenized through an information system that...
Persistent link: https://www.econbiz.de/10010597528
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Cross-hedging of correlated exchange rates
Broll, Udo; Wong, Kit Pong - Fakultät Wirtschaftswissenschaften, Technische … - 2011
This paper examines the behavior of a competitive exporting firm that exports to two foreign countries under multiple sources of exchange rate uncertainty. The firm has to cross-hedge its exchange rate risk exposure because there is only a forward market between the domestic currency and one...
Persistent link: https://www.econbiz.de/10009321669
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Prospect theory and two moment model: the firm under price uncertainty
Broll, Udo; Egozcue, Martín; Wong, Wing-Keung - Fakultät Wirtschaftswissenschaften, Technische … - 2009
Within the prospect theory the paper examines production and hedging decisions of a competitive firm under price uncertainty. We consider the prospect theory for the firm's utility function in the two moment model known as (mu,sigma)-preference. In contrast to the literature our findings show...
Persistent link: https://www.econbiz.de/10009226126