国际工程承包项目汇率风险应对

随着人民币汇率的上升,许多中国承包商在国际工程项目上,特别是以美元作为收支款项货币的项目,因未能采取有效的汇率风险防范措施蒙受了巨大的利润损失,有的甚至陷入了亏损的境地.未来的汇率走势难以预测,承包商应当对汇率风险采取适当的措施加以管理.本文以国际工程项目寿命周期为主线,研究承包商在项目各个阶段的汇率风险应对方法.     

Taxes,institutions and foreign diversification opportunities

Investors can access foreign diversification opportunities through either foreign portfolio investment (FPI) or foreign direct investment (FDI). The worldwide tax regime employed by the US potentially distorts this choice by penalizing FDI, relative to FPI, in low-tax countries. On the other hand, weak investor protections in foreign countries may increase the value of control, creating an incentive to use FDI rather than FPI. By combining data on US outbound FPI and FDI, this paper analyzes whether the composition of US outbound capital flows reflects these incentives to bypass home and host country institutional regimes. The results suggest that the residual tax on US multinational firms' foreign earnings skews the composition of outbound capital flows — a 10% decrease in a foreign country's corporate tax rate increases US investors' equity FPI holdings by approximately 10%, controlling for effects on FDI. Investor protections also seem to shape portfolio choices, though these results are not robust when only within-country variation is employed.     

国际工程承包企业外汇风险管理策略

随着我国汇率体制改革的深入,如何有效地规避外汇风险已成为我国国际工程承包企业经营管理中需要面对的重大课题.本文基于外汇风险的识别和企业外汇避险的实际要求,阐述了国际工程承包企业面临的外汇风险种类及其规避策略,并以实例分析了几种外汇风险规避方案的选择.     

Volatility transmission between stock and foreign exchange markets: a connectedness analysis

ABSTRACT

This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to May 2018. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each market. To gain further insights, we examine the time-varying behaviour of net pair-wise directional connectedness during the financial turmoil periods experienced in the sample period Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across markets rather than by idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability.     

Removing foreign direct investment's exchange rate risk in developing economies: the case for a foreign exchange custodian board

This paper proposes a system design (foreign exchange custodian board) that may stimulate foreign direct investment (FDI) in developing economies through the removal of foreign investors' exchange rate risk in investment outlay. For any expected distribution of exchange rate on any interval around the starting exchange rate, there exists a non-negative custodian service charge that both the developing economy and foreign investors can benefit from the proposed system. When the increase in domestic factors' value added caused by FDI is sufficiently large, the developing economy will benefit even in the absence of any custodian service charge.     

汇率低估与中国经济结构问题

自1994年以来,我国人民币汇率基本保持不变,相对于我国经济强劲的增长势头和外汇储备大幅增长的现实,这种汇率稳定的状况未能反映我国经济发展的实质,汇率低估问题成为目前理论界争论的一个焦点。尽管汇率低估有利于扩大出口、拉动经济增长,但长期实施固定汇率制导致的汇率低估,也会加剧我国经济结构的畸形发展,破坏产业结构的协调性,使消费需求的增长受到限制,最终影响到国民收入水平的提高。解决这一问题,必须逐步形成有管理的浮动汇率制度,使汇率制度适应国内经济结构调整的需要,加快国民经济结构调整的步伐。一、对我国现行汇率制度的再…     

Transmission of monetary policy and exchange rate shocks under foreign currency lending

This paper analyses the differences in reaction of domestic and foreign currency lending to monetary and exchange rate shocks, using a panel VAR model estimated for the three biggest Central and Eastern European countries (Poland, the Czech Republic and Hungary). Our results point toward a drop in domestic currency loans and an increase of foreign currency credit in reaction to monetary policy tightening in Poland and Hungary, suggesting that the presence of foreign currency debt weakens the transmission of monetary policy. A currency depreciation shock leads to an initial decline in foreign currency lending, but also in loans denominated in domestic currency as central banks react to a weaker exchange rate by increasing the interest rates. However, after several quarters, credit in foreign currency accelerates, indicating that borrowers start using it to substitute for depressed domestic currency lending.     

Real exchange rate volatility,financial crises and exchange rate regimes

This article examines real exchange rate (RER) volatility in 80 countries around the world, during the period 1970 to 2011. Two main questions are raised: are structural breaks in RER volatility related to changes in exchange rate regimes or financial crises? And do these two events affect the permanent and transitory components of RER volatility? To answer these, we employ two complementary procedures that consist in detecting structural breaks in the RER series and decomposing volatility into its permanent and transitory components. Our results suggest that structural breaks in RER volatility coincidence with financial crises and certain changes in nominal exchange rate regimes. Moreover, our findings confirm that RER volatility does increase with the global financial crises and detect that the more flexible the exchange rate regime, the higher the volatility of the RER using a de facto exchange rate classification.     

Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS

This paper examines interest rate convergence between Germany and the other EMS countries. We argue that earlier tests of convergence based on cointegration are not informative, because cointegration only implies that a linear combination of interest rates is stationary. We show that a conclusive judgment about convergence can be made if interest rate differentials exhibit a trend towards zero during the period when convergence occurred, and if the cointegrating vector has unit coefficients. We then establish that convergence has taken place in the “hard” EMS period. We also attempt to identify the sources of nonstationarities in interest differentials by examining the existence of stochastic or deterministic trends in the expected rate of depreciation and in the risk premium. Finally, the possibility of market inefficiencies is discussed.     

Speculation,interest arbitrage,and the forward foreign exchange rate of the Canadian dollar: Updated evidence

This note presents updated estimates of the reduced forms of the “Modern Theory of the Forward Foreign Exchange Rate” and of the “Interest Parity Theory” for Canada for the period 1962–1977. The evidence does not support the Modern Theory's hypothesis of a significant effect of speculation on the forward rate, and supports the hypothesis of effective interest arbitrage only for the most recent period 1976–1977.     

汇率变动、对外贸易与经济增长——以湖南省为例

选取了2005年7月汇改以来至2013年12月的季度数据,通过建立联立方程模型,利用3SLS(三阶段最小二剩法)计量方法就人民币汇率的变动对湖南省对外贸易、经济增长的影响进行实证研究。实证结果表明:人民币实际有效汇率升值1%,经济增长速度降低0.612%;湖南省进出口额的增长速度降低2.79%,人民币实际有效汇率升值对湖南省经济总量的增长有紧缩效应。     

Local content requirement on foreign direct investment under exchange rate volatility

This paper analyzes the effects of exchange rate volatility of both the host country and the parent country on host-government policy related to local content requirement (LCR) on export-oriented foreign direct investment (FDI) in the context of an oligopolistic market in a third country. We, inter alia, find that an increase in the volatility foreign exchange rate decreases optimal LCR both under free entry and exit of foreign firms and when the number of foreign firms is fixed. We also find that the government uses a less strict LCR policy when the number of foreign firms is endogenous than when it is exogenous.     

Price undertakings, VERs, and foreign direct investment: the case of foreign rivalry

Abstract.  Antidumping (AD) petitions are often withdrawn in favour of voluntary export restraints (VERs) and price undertakings. This paper compares these policy options in the presence of protection-jumping foreign direct investment (FDI), with special emphasis on rivalry between foreign firms. We show that a VER is less likely to induce FDI than a price undertaking or AD. As a result, by settling AD cases with VER agreements, the importing country can pursue a more protectionist policy without triggering FDI. In this sense the GATT ban on VERs following the proliferation of AD uses was a sensible decision.     

Exchange rate exposure of the key financial institutions in the foreign exchange market

Exchange rate exposure is assessed for key individual financial institutions, country-specific portfolios, and global portfolios. The results show that the majority of the key individual institutions are significantly exposed. U.K., Swiss, and Japanese portfolios are found to be significantly exposed, whereas U.S. portfolios are not exposed. There is also some evidence that exchange rate exposure does not exist on a global level. To the extent that the vast majority of currency trading is conducted among the financial institutions included in the portfolio, exposure is expected to be insignificant as gains accrued by one institution would be offset by losses incurred by another institution.     

The emerging global financial architecture and exchange rate regimes in a volatile world

Previous work has documented inflation effects on Tobin's q in the long run. This paper examines whether the FED's different policies and chairmen tenure have an impact on Tobin's q, after a modified stylized AD-AS model shows that central banks affect q. We do find changing responses of q depending on the pre-Volcker and post-Volcker periods.     

Real exchange rate and exchange rate policy in Hungary

Five real exchange rate indicators are computed to assess the international competitiveness of Hungarian industry. These indicators are explained in econometric equations by employment, unemployment, productivity, interest spread and real producer wage. Causality tests reveal that external performance has an impact on real exchange rates, and contributes to explaining real exchange rates. There is very limited scope for policy intervention to constrain the negative effects of capital inflows without incurring other costs.     

汇兑风险与工程保留金

汇兑风险海外的工程承包项目的汇兑风险相当大,而且项目越大,金额越大,其影响也就越大,千万不可掉以轻心。汇率每天都在涨落之中。变化通常是逐渐发生的,但也有突然出现波动的情形,而且可能朝着与原判断方向相反的方向变化。因此,汇兑风险对项目的盈亏起着相当关键的作用,而且有时会带来意想不到的结果。尤其是在软货币的国家,如货币选择不当,那么承包商的盈利很可能在兑换过程中让浮动变化着的汇率给吃掉。有时购买材料、设备的市场价格大幅下跌,同时汇率也朝着对承包商不利的方向滑动,这两个因素的重叠作用,足以对项目造成灾…     

Firm value and the diversification choice: international evidence from global and industrial diversification

Our study examines the nature of industrial and global diversification for a sample of more than 12?000 firms across 35 emerging and developed countries during the period 1991–2006. Consistent with previous studies, we find that industrial diversification, either alone or combined with global diversification, results in a reduction of firm excess value. Global diversification alone, however, does not exert a significant impact on excess value. In an analysis of the decision to diversify, we find that firms in civil law countries or less developed nations are more likely to diversify, suggesting the greater utility of internal capital markets in economies where it is difficult to raise external capital. We observe that high leverage, larger size, lower levels of growth, R&D, free cash flow, profitability and Tobin's q encourage firms to diversify industrially. Higher values of q, firm size, R&D expenditures, free cash flow and liquidity, but reduced growth rates and profitability are associated with global diversification.     

Market Underreaction to Large Stock Price Declines: The Case of ADRs

This paper examines a sample of ADR stocks that experienced significant stock price declines of more than -15% during a specific month, and finds no evidence of a reversal pattern over the long run. The results are consistent with the predictions of the underreaction hypothesis and the existence of a "momentum" effect in stock prices. The underreaction hypothesis is also supported when ADRs are examined across industries, and for a sample of emerging market ADRs.