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Operational hedging of exchange rate risks
Tscheke, Jan - 2016
-movement of export and import related exchange rates. I find that operational hedging requires firms to intentionally choose … move together. Appreciations of the domestic currency, raising foreign currency export prices, then also reduce marginal … export and import regions with comoving currencies. Analyzing the locational choice of firms confirms that the co-movement of …
Persistent link: https://www.econbiz.de/10011626625
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Hedging the Exchange Rate Risk in International Portfolio Diversification: Currency Forwards versus Currency Options
Maurer, Raimond; Valiani, Shohreh - 2003
diversified mixed asset portfolios via different hedge tools. Several hedging strategies, using currency forwards and currency …
Persistent link: https://www.econbiz.de/10010316299
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Restricted Export Flexibility and Risk Management with Options and Futures
Adam-Müller, Axel F. A.; Wong, Kit Pong - 2002
This paper examines the production, export and risk management decisions of a risk-averse competitive firm under … exchange rate risk. The firm is export flexible in allocating its output to either the domestic market or a foreign market … after observing the exchange rate. Export flexibility is restricted by certain minimum sales requirements that are due to …
Persistent link: https://www.econbiz.de/10010324039
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Hedging of exchange rate risk and regression dependence
Broll, Udo; Wong, Kit-Pong - 1997
essential in analyzing optimal hedging and export decisions. When the spot exchange rate and the futures exchange rate are …
Persistent link: https://www.econbiz.de/10010398167
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Export performance, invoice currency, and heterogeneous exchange rate pass-through
Fabling, Richard; Sanderson, Lynda - 2013
Using comprehensive, shipment-level merchandise trade data, we examine the extent to which New Zealand exporters maintain stable New Zealand dollar prices by passing on exchange rate changes to foreign customers. We find that the extent to which firms absorb exchange rate fluctuations in the...
Persistent link: https://www.econbiz.de/10012115639
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Foreign-currency bonds: currency choice and the role of uncovered and covered interest parity
Habib, Maurizio Michael; Joy, Mark - 2008
Using count-data techniques, this paper studies the determinants of currency choice in the issuance of foreign-currency-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing-cost savings associated with deviations...
Persistent link: https://www.econbiz.de/10011604993
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Foreign exchange option and returns based correlation forecasts: evaluation and two applications
Castrén, Olli; Mazzotta, Stefano - 2005
We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter (OTC) currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation forecasts. We find that while the predictive...
Persistent link: https://www.econbiz.de/10011604493
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Towards European monetary integration: the evolution of currency risk premium as a measure for monetary convergence prior to the implementation of currency unions
González, Fernando; Launonen, Simo - 2005
We assess monetary convergence preceding the implementation of the European Monetary Union (EMU) through Kalman filtering estimates of the risk premium of eleven forward exchange rates of European and non-European currencies. Since all participating currencies are in effect identical from...
Persistent link: https://www.econbiz.de/10011604615
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German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs
Jamin, Gösta; Entorf, Horst - 2004
costs (hedging costs) for firm values and exposure. Based on time series data of German DAX companies, DM/ dollar rates and …
Persistent link: https://www.econbiz.de/10010297319
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German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs
Entorf, Horst; Jamin, Gösta - 2003
costs (hedging costs) for firm values and exposure. Based on time series data of German DAX companies, DM/ dollar rates and …
Persistent link: https://www.econbiz.de/10010323710