Firm‐Level Competition and Exchange Rate Exposure: Evidence from a Global Survey of Firms

We examine the effect of competition on exchange rate exposure using survey data from 55 countries. We find that exposure increases with the intensity of competition. Exposure is higher when firms face price competition in international and domestic product markets and when rivals compete using an unfair financial advantage. Furthermore, competition is a leading determinant of exposure, dominating the usual determinants. Exposure also increases with several determinants not previously empirically examined, such as firm‐level financial constraints. These results hold for small, large, foreign‐involved, and purely domestic firms. Finally, import‐only firms have higher exposure than export‐only firms. Our survey results are likely to capture exposure before firms’ hedging actions.     

浮动汇率机制下外向型企业汇率风险管理策略

随着我国富有弹性的浮动汇率机制的逐步建立,外向型企业面临的汇率波动风险将越来越大,因此,提高汇率风险管理水平,采取套期保值规避汇率风险是企业面临的一个重要问题.     

Exchange Rate Exposure at the Firm and Industry Level

Previous work on the exposure of firms to exchange rate risk has primarily focused on U.S. firms and, surprisingly, found stock returns were not significantly affected by exchange‐rate fluctuations. The equity market premium for exposure to currency risk was also found to be insignificant. In this paper we examine the relation between Japanese stock returns and unanticipated exchange‐rate changes for 1,079 firms traded on the Tokyo stock exchange over the 1975–1995 period. Second, we investigate whether exchange‐rate risk is priced in the Japanese equity market using both unconditional and conditional multifactor asset pricing testing procedures. We find a significant relation between contemporaneous stock returns and unanticipated yen fluctuations. The exposure effect on multinationals and high‐exporting firms, however, is found to be greater in comparison to low‐exporting and domestic firms. Lagged‐exchange rate changes on firm value are found to be statistically insignificant implying that investors are able to assess the impact of exchange‐rate changes on firm value with no significant delay. The industry level analysis corroborates the cross‐sectional findings for Japanese firms in that they are sensitive to contemporaneous unexpected exchange‐rate fluctuations. The co‐movement between stock returns and changes in the foreign value of the yen is found to be positively associated with the degree of the firm's foreign economic involvement and inversely related to its size and debt to asset ratio. Asset pricing tests show that currency risk is priced. We find corroborating evidence in support of the view that currency exposure is time varying. Our results indicate that the foreign exchange‐rate risk premium is a significant component of Japanese stock returns. The combined evidence from the currency exposure and asset pricing analyses, suggests that currency risk is priced and, therefoe, has implications for corporate and portfolio managers.     

涉外企业汇率风险管理的投资组合视角

Harry．Markowitz于1952年提出的投资组合理论是一个开创性成果，到目前为止对该理论的应用主要集中在资本市场最优证券组合构造上，本文作者将该理论引入涉外企业汇率风险管理中，提出了涉外企业汇率风险管理的投资组合视角。     

人民币汇率风险及其非对称性的实证研究

2008年以来,人民币进入加速升值阶段,影响了国内各经济行业。为定量刻画汇率波动尤其是人民币升值对经济的影响,本文运用汇率风险不对称模型,分离汇率升值和贬值的不同效应,明确升值背景下各行业的汇率风险。实证结果表明,风险不对称现象很普遍,且多数行业在升值时的风险系数都为负数,说明名义与实际汇率的升值的确对经济行业产生了一定的负面影响。     

Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks

This article estimates the interest rate and exchange rate risk betas of 59 large U.S. commercial banks for the period of 1975–1992, as well as the bank-specific determinants of these betas. The estimation procedure uses a modified seemingly unrelated simultaneous method that recognizes cross-equation dependencies and adjusts for serial correlation and heteroskedasticity. Overall, the exchange rate risk betas are more significant than the interest rate risk betas. More importantly, we find a link between the scale of a bank's interest rate and currency derivative contracts and the bank's interest rate and exchange rate risks. Particularly noteworthy is the influence of currency derivatives on exchange rate betas.     

The Origin of Valentine＇s Day

There are various opinions as to the origin of Valentine＇s Day. Some experts state that it originated from Saint Valentine. a Roman who was martyred for refusing to give up Christianity. He died on February 14. 269 A.D.. the same day that had been devoted to love lotteries.     

Exchange Rate Exposure,Foreign Currency Debt,and the Use of Derivatives: Evidence from Brazil

This paper studies the exchange rate exposure and its determinants for a sample of nonfinancial Brazilian companies from 1996 to 2006. The results indicate that the number of firms exposed to exchange rate fluctuations is higher in periods of crisis and under a fixed exchange rate regime. In addition, the results point out that, although companies' international activities, operational hedging, and financial policies are important determinants of firms' exposure, the changes in companies' exposure that took place when Brazil moved from a fixed to a floating exchange rate regime were mainly driven by changes in companies' foreign currency borrowing and the use of derivatives that occurred in that period.     

均衡汇率：汇率调整的主要依据

人民币是高估还是低估的讨论,就是相对于一个参照系的问题,即经济学上所说的均衡汇率问题。均衡汇率是汇率理论中的核心问题之一,是判断汇率水平是否失调及汇率政策是否需要调整的主要客观依据。     

会计师事务所内部治理指南(征求意见稿)

1月4日,中国注册会计师协会发布了《会计师事务所内部治理指南(征求意见稿)》。这是中注协为适应加快完善社会主义市场经济体制以及全面贯彻落实“十一五”规划对行业发展提出的新要求,推进我国注册会计师行业做大做强和国际化发展,全面加强会计师事务所内部治理机制建设工作的最新成果。财政部领导对会计师事务所内部治理机制建设     

实际汇率研究进程与人民币实际汇率评价

只要一国的汇率与其国际竞争力相联系,该国的实际汇率就会被关注。本文从价值规律的角度分析和总结了国内外长期以来对实际汇率的研究,比较了两种实际汇率分析方法,即价格分析法和价值分析法,旨在说明价值规律还是左右着当前和未来对于实际汇率的研究,未来对人民币实际汇率的研究将可能偏重价值分析法。     

均衡汇率估算方法与人民币汇率话语权

本文对边界商品的相对劳动生产率进行处理,形成三种不同的汇率估算方法,即人均GDP法、地区人均GDP替代法以及收入差值法.针对英国《经济学家》编制的“巨无霸指数”,利用收入差值法估算了基于人民币汇率的修正的“巨无霸指数”,结果表明人民币汇率是被高估了,但是高估的程度在持续下降.这一研究结果将为人民币汇率获得话语权提供支持...     

Foreign Exchange Exposure Elasticity and Financial Distress

Financially distressed firms have limited ability to manage exchange rate exposure over time which could cause their fundamental value to be sensitive to the cash flow volatility related to currency movements. Accordingly, we hypothesize that the likelihood and costs of financial distress help explain cross‐sectional variations in return sensitivity to currency movements. We find that the level of exchange rate exposure elasticity is related to proxies for the likelihood of financial distress, growth opportunities, and product uniqueness. Further, firms with a greater likelihood and higher costs of financial distress exhibit greater abnormal returns in response to large exchange rate shocks.     

Equilibrium Exchange Rate Hedging

We assume a world like the one that gives the capital asset pricing model, but with many goods and many countries. We assume that investors in a given country have homothetic utility functions with the same weights, and a currency that has a sure end-of-period value using a price index with those weights. Siegel's paradox (derived from Jensen's inequality) makes investors want a positive amount of exchange risk. When average risk tolerance is the same across countries, every investor will hold the same mix of market risk (through the world market portfolio of all assets) and exchange risk (in a diversified basket of foreign currencies). In fact, the ratio of exchange risk to market risk is equal to the average investor's risk tolerance. We can write the ratio of exchange risk to market risk (and the fraction of the market's exchange risk that investors hedge) as depending on an average of world market risk premia, an average of world market volatilities, and an average of exchange rate volatilities. The weights in these averages are the same as the weights of the different countries in the currency basket. Given these averages, the ratio (and the fraction hedged) will not depend directly on exchange rate means or covariances. In equilibrium, we can use the ratio of exchange risk to market risk to measure average risk tolerance: in this model, risk tolerance is observable.     

Incomplete Exchange Rate Pass-Through: Evidence from Exchange Rate Reform in China

Exchange rate disconnect is one of the central puzzles in international macroeconomics. Recently, there is a growing literature that studies the microeconomic foundations or mechanisms for incomplete exchange rate pass-through. However, the estimations of the exchange rate pass-through vary widely in the existing literature. Our article proposes the use of a policy-based instrumental variable for exchange rate, exploiting the exchange rate reform in China, and finds that 67% of exchange rate pass-through into the FOB export price of Chinese exports. This contrasts to the almost full exchange rate pass-through using OLS estimation. We further find that the export price of homogeneous goods, low-technology goods, and goods supplied by domestic non-SOEs is more sensitive to exchange rate changes.     

利率市场化和贷款定价

利率对资金供求的影响如同商品价格对商品供求的影响.利率变动对企业、个人借贷行为影响日益明显.中国的利率市场化是金融市场改革的重要目标,但不能一步到位.从稳定经营与中国商业银行总体稳定的目标来看,存、贷利差应有所扩大.利率市场化下的贷款定价应考虑风险、成本及违约率等多种因素.对不同类型的贷款客户和不同地区的贷款,其定价方法应有所不同.     

FX Trading and Exchange Rate Dynamics

I examine the sources of exchange rate dynamics by focusing on the information structure of FX trading. This structure permits the existence of an equilibrium distribution of transaction prices at a point in time. I develop and estimate a model of the price distribution using data from the Deutsche mark/dollar market that prroduces two striking results:(1) Much of the short-term volatility in exchange rates comes from sampling the heterogeneous trading decisions of dealers in a distribution that, under normal market conditions, changes comparatively slowly; (2) public news is rarely the predominant source of exchange rate movements over any horizon.     

Trade Openness and Exchange Rate Regimes

The paper evaluates the net welfare gains of inflation targeting over a fixed exchange rate as a function of a country's trade openness, using a multisectoral structural model calibrated to Chile. For most calibrations with separable preferences, net welfare gains are increasing in trade openness. The reason is that in more open economies terms of trade shocks, which favor inflation targeting, become quantitatively more important, while price markup shocks in the imperfectly competitive nontradables sector, which favor exchange rate targeting, become less important. The most important exception is heavily indebted countries, where net welfare gains are decreasing in trade openness.     

Futures Commitments and Exchange Rate Volatility

It is commonly suggested that certain groups of futures traders, such as speculators and small traders, exacerbate cash market volatility. Empirical research on the subject has been conducted in context of the relationship between price volatility and futures volume or open interest and fails to satisfactorily resolve such an issue. This paper examines the relationship between exchange rate variability and futures trading activity in the context of disaggregated open interest. The data and techniques employed allow for more specific inferences regarding which group of traders contribute to exchange volatility. The results suggest that while 'typical' levels of futures commitments are not destabilizing, surges in the level of commitments of large speculators and small traders causes exchange rate volatility. The actual release of the commitment-of-traders data, however, has no impact on spot prices.