Corporate use of innovative foreign exchange risk management products

In today's competitive global markets, firms are threatened by the increasing exchange rate volatility. Over the last two decades, a plethora of new financial products has been introduced in the marketplace to help multinational corporate managers handle currency risks. In this study, the authors examine how extensive are the various major innovative foreign exchange products used by U.S. corporations, and categorize these products into three generations. They find that the popularity of the simpler, first-generation product (forward contracts) has not been overtaken by the sophisticated new entrants, and that the adoption of innovative foreign exchange risk management products is not as common as expected.     

An examination of foreign exchange risk under fixed and floating rate regimes

This paper examines variability risk in foreign exchange markets during fixed and floating rate regimes. It is demonstrated that variance is an inadequate measure of variability, both theoretically and empirically. Although the normal model is commonly employed in foreign exchange research, the paper shows that spot and forward rate changes can be better described as if they were generated from nonnormal members of the Pareto-Levy class of probability distributions. Further, the paper discusses what statistical measures of variability are most appropriate. Several measures are developed to assess the characteristics of spot and forward rate changes during the period 1962–1975. It is found that floating rates are generally many times riskier, in the variability sense, than fixed rates.     

Understanding Brazilian companies' foreign exchange exposure

The paper analyzes the exchange rate exposure of a sample of non-financial Brazilian companies from 1999 to 2009. The results confirm the importance of using nonlinear models to address companies' exchange rate exposure. The results indicate that when compared to the linear model commonly used in literature, the nonlinear model leads to an increase in the number of firms exposed to exchange rate fluctuations, which allows a more accurate analysis of the impact of exchange rate fluctuations on the value of firms. In addition, the paper shows that exporters and companies that hold foreign currency denominated debt are more likely to be exposed to exchange rate fluctuations and that the nonlinearity of companies' foreign exchange exposure is associated with the use of foreign currency derivatives.     

发展外汇衍生类产品业务问题的思考

大力发展外汇衍生类产品业务是我国商业银行和涉外企业的战略选择。外汇衍生类产品业务在我国仍处于发展的初级阶段，存在着很多亟待解决的问题，只有采取加快人才培养、加大监管力度、完善金融市场等措施，才能实现快速发展。     

浅析外贸企业出口收汇风险的防范

及时、安全和足额出口收汇既是外贸企业发展的重要保证，也是我国外经贸事业健康发展的重要标志。针对目前我国出口收汇中存在的较高欠款、坏账，作者提出了应加强对进口商资信调查研究，建立出口信用风险管理体制；选择合理的国际结算方式；通过国际保理业务；以及投保出口信用保险来降低和规避出口收汇风险，尽量减少坏账、欠款的发生，从而提高出口收汇质量。     

A pure foreign exchange asset pricing model

If consumption tastes differ among countries, a position in foreign-denominated nominally riskless bonds is risky in real terms. Risk averse and rational consumer-investors facing such a situation would generally seek a diversified portfolio of foreign bonds. They would demand risk premia in accordance with portfolio (covariance) risk. A model is specified to portray this behavior and it is tested with data from eight countries. The results indicate that the actual premia earned in foreign risky positions are positively related on average to portfolio risk measures; but the premia deviate significantly from those predicted by the model.     

The liquidity effects of foreign exchange intervention

This paper examines the effectiveness of foreign exchange intervention in a two-country, two-currency, general equilibrium model that allows for liquidity effects. Both sterilized and non-sterilized intervention operations have significant impacts on the allocation of liquidity in international financial markets. Whether intervention is successful in moving the exchange rate in the desirable direction depends upon the degree of sterilization of intervention and the intratemporal elasticity of substitution of the consumption goods. The model shows that there exist circumstances in which the response of exchange rate to intervention is ‘perverse’ as documented in the empirical literature.     

The optimal composition of foreign exchange reserves

This paper presents a model for selecting an optimal foreign exchange reserves portfolio for semi-industrial and developing countries, using the mean—approach. The model described here focuses on the relationship between the composition of reserves and that of imports, as well as the impact of return and risk of the investments in each currency. The empirical importance of these factors is demonstrated by investigating the optimal policy for Israel in the period 1972–1976. In comparing the actual and the efficient portfolio of different groups of countries, we find that profit considerations play a greater role in semi-industrial and developing countries than in industrial ones.     

The identification of destabilizing foreign exchange speculation

This paper develops a technique for directly identifying destabilizing speculation. It shows that previous techniques that have been used in the empirical foreign exchange market literature cannot correctly identify whether or not destabilizing speculation has occurred. It is shown that the ‘true’ underlying model that determines the exchange rate (or any price) must be known before the stability of speculation can be determined empirically. Two appendices are included that (a) present an example of a correct empirical test for the 1973–1975 foreign exchange markets, and (b) show how a rational expectations framework could be used to analyze the question.     

保税区外汇管理新法

新的《保税区外汇管理办法》已从10月1日起施行,它意味着国家已在着手理顺保税区政策。当前保税区发展的最大困扰是政策问题,包括政策不清、部门之间政策相互矛盾等。今年     

Price discovery in the foreign exchange futures market

Examination is made of the relative contributions to price discovery of the floor and electronically traded euro FX and Japanese yen futures markets and the corresponding retail on‐line foreign exchange spot markets. GLOBEX electronic futures contracts provide the most price discovery in the euro; the on‐line trading spot market provides the most in the Japanese yen. The floor‐traded futures markets contribute the least to price discovery in both the euro and the Japanese yen markets. The overall results show that electronic trading platforms facilitate price discovery more efficiently than floor trading. Futures traders may also extract information from on‐line spot prices. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1131–1143, 2006