Asian foreign exchange risk exposure

We find that about 25 percent of Asian firms experienced economically significant exposure effects to the US dollar and 22.5 percent to the Japanese yen for the period January 1993 to January 2003. The overall extent of exposure is not sample dependent; a depreciating (appreciating) Asian currency against foreign currencies has a net negative (positive) impact on stock returns. The extent to which firms are exposed to exchange rate fluctuations varies with return horizons; short-term exposure seems to be relatively well hedged, where considerable evidence of long-term exposure is found. Firms with weak liquidity positions tend to have smaller exposures. J. Japanese Int. Economies 21 (1) (2007) 16–37.     

Export and Strategic Currency Hedging

This paper examines an international Cournot duopoly wherein a home firm and a foreign firm compete in the home market under exchange rate uncertainty. The foreign exporting firm, being risk averse, has incentives to hedge its exchange rate risk exposure. In a two-stage setting, we show that hedging via an unbiased currency futures market acts as a strategic device. In particular, under either constant or decreasing absolute risk aversion, an increase in the hedging volume of the foreign firm promotes its exports and deters the home firm’s output. In contrast to the well-known full-hedging result in a perfectly competitive environment, we find that the foreign firm over-hedges for strategic reasons. Furthermore, the separation result from the hedging literature under perfect competition no longer holds in our duopoly framework, i.e., equilibrium output levels depend on the risk attitude of the foreign firm as well as the probability distribution of the spot exchange rate.     

Assessing risk exposure of capital investment project

The article describes a method of modification of the effectiveness index for capital investment projects of net present value (NPV) taking into account risk exposure of the capital investment project and the contractor. The stages of modification and their economic sense are explained in details. The obtained modification of NPV makes it possible to assess the effectiveness of the investment project, guaranteeing its profitability.     

套期保值与企业价值的文献回顾

论文对套期保值与企业价值的理论和实证研究文献作了系统的回顾,全面地归纳和总结了企业套期保值的动因,套期保值同企业价值的关系以及企业利用衍生工具进行套期保值的各种机制。大部分的实证结果表明,套期保值在不同程度上提高了企业的价值。论文的贡献在于对已有的研究方法进行了稳健性分析,并提出进一步的研究方向,包括扩展研究企业套期保值的工具和套期保值的程度;不同套期保值机制及其组合;对实证模型的变量及其关系做进一步的研究和分析;以及将套期保值的成本和损益作为实证模型中的控制变量,以使模型更完整。     

Optimal Hedging Under Price,Quantity and Exchange Rate Uncertainty

Abstract: This paper derives an optimal hedging strategy for a primary producer under price, quantity and exchange rate uncertainty. In this model, it is assumed that the producer is a mean-variance maximizer with an exponential utility function. The derived optimal hedge ratio for the commodity is proportional to the coefficient of the commodity futures prices bias in a linear regression where revenue uncertainty is the dependent variable. This ratio differs from the result that would have been obtained under price-quantity uncertainty when revenues are significantly correlated with the exchange rate variability, thereby suggesting that the foreign exchange risk is relevant only when the commodity exposure is unhedged. The model is empirically tested using Côte-d'Ivoire, Ghana and Nigeria as cocoa producers and the US Dollar and the French Franc as currencies of numeraire to hedge UK Pound revenues. The resulting cocoa hedge ratios range from 78 to 57 percent. For Ghana and the Côte-d'Ivoire, there is little correlation between revenue and exchange rate variability. Therefore, the cocoa ratio is not significantly affected by the introduction of this additional source of uncertainty and the currency ratio in the joint hedge is trivial for both the dollar and the franc. Nigeria's revenues are correlated to the dollar and the cocoa ratio is de facto lowered by the currency effect in a joint cocoa-dollar hedge. Résumé: Cet article presente un modele de couverture optimale a terme contre les risques conjoints de prix, de quantite et de change pour un producteur de matieres premieres dont l'objectif est de maximiser ses revenus. Le taux de couverture optimal est proportionnel au coeficent obtenu dans une regression simple des revenus ou le biais des prix a terme est la variable independente. Ce taux ne direre de celui obtenu dans un modele d'incertitude prix-quantite que lorsque l'incertitude de quantite est correlee a celle de change. Ceci suggere a contrario qu'une couverture optimale du risque des prix de matieres premieres permet en meme temps de parer au risque de change.     

Multinationals, Hedging, and Capital Structure under Exchange Rate Uncertainty

This paper examines the interplay of the financing and hedging decisions of a risk-averse multinational firm having a wholly-owned foreign subsidiary. Exchange rate risk management of the multinational firm is shown to have direct impacts on its international capital structure decision and on its currency of denomination decision. If a currency forward market exists, the multinational firm will devise its international capital structure so as to minimize the global weighted average cost of capital. Or else the multinational firm has to rely on a money market hedge through issuing more foreign currency denominated debt and less domestic currency denominated debt, thereby resulting in a higher global weighted average cost of capital. JEL Classification Numbers: D81, F23, G32     

兼容性制度竞争:双层对冲与地区制度的嵌套设计北大核心

地区制度的兴起增加了全球治理机制的复杂性。竞争性多边主义理论强调制度竞争会导致国际机制的碎片化和规则冲突。制度聚合理论则认为制度背景会强化规则的一致性,甚至形成制度服从。这种冲突—聚合的二分法不足以分析地区制度与多边制度之间关系的复杂现实。作者提出一个双层对冲的分析框架,以解释地区制度与核心多边制度间的联系机制;一方面,地区成员要通过建立地区制度寻求外部选项,实现对现有多边制度的制衡。另一方面,地区成员又离不开现有多边制度,需要借用现有的多边制度资源来解决地区制度建设中的机会主义问题。为了实现双层对冲,地区成员国会根据地区制度的系统冲击效应和投资报偿结构,设计不同的制度嵌套。作者比较了金融救助领域的欧洲稳定机制、清迈倡议多边化以及拉美储备基金等地区金融安排,其结果符合预期。双层对冲框架下的兼容性制度竞争有利于推动国际制度的渐进变迁,限制了大国在国际秩序转型中的冲突烈度,为世界政治的和平权力转移提供了可能。     

我国黄金期货市场价格发现与套期保值功能——基于ARDL-ECM模型

文章收集了2011-2013年的黄金期货和现货价格数据,采用ARDL-ECM模型分析我国黄金期货价格和现货价格之间的长期均衡和短期动态关系。研究表明:我国黄金期货市场具有完美且有效的套期保值功能,但尚不具有价格发现功能,其运行效率有待提高。     

股指期货市场的风险分析及风险控制

即将推出的股指期货市场是我国资本市场金融创新的一座里程碑。作为一个新兴的金融衍生工具,股指期货具有高风险、高收益的特征。文章主要从风险分析和风险控制两方面对其进行分析,为投资者进入股指期货市场提供指导。     

论巨灾风险证券化与风险融资制度的发展

一、对巨灾风险内涵的再思考关于什么叫巨灾风险?一般的保险文献均指“洪水、地震、飓风等自然灾害造成的一定地域范围内大量的保险标的物同时受损,引发巨额保险索赔而对保险企业业务经营稳定带来巨大影响的风险”。诚然,这种理解已经基本概括了人们对社会生活中巨灾风险的经验     

资本市场非线性理论研究发展及述评

本文总结分析了线性框架下的经典资本市场理论及其前提假设,指出其在解释现实资本市场中的缺陷,并归纳评述了资本市场非线性理论的研究发展情况。     

央企套保巨亏加强金融业务监管刻不容缓

日前,东方航空披露的年报显示．该公司营业收入为41842亿元,营业成本为430．76亿元．净亏损140．46亿元。其中．归属于母公司所有者的净亏损为139．28亿元,而上年同期公司归属于母公司所有者的净利润为6．04亿元．同比下滑2406．08％,基本每股收益-2．86元／股,同比下滑2483．33％,实际上东航已是资不抵债。     

Relative risk aversion,incentive effects,and risk sharing

Comments and suggestions by R. C. Kumar, K. R. Stollery, and an anonymous referee of this journal are appreciated.     

银行理财的风险传导机制与风险管理策略研究

全球金融风暴的发生、发展及其影响目前仍在讨论与观察之中,但可以肯定的是,尚处于全球化进程中的中国金融业亦很难独善其身,新兴的中国银行理财市场面对着复杂的国际金融形势其发展之路又在何方。本文在一个基础性的金融理论框架内讨论了银行理财市场的风险传导机制,并试图给出商业银行理财业务的风险管理策略。     

浅析可转换债券的投资风险、风险防范和投资战略

本文通过深入分析可转债的投资风险、投资风险的防范措施,提出了几种常用的可转债投资战略并简要地分析了可转债的投资特点以利于投资者对可转债进行投资。     

商业银行个人理财中的风险认知与风险管理研究

商业银行个人理财业务在迅速发展的同时,也面临着许多风险问题。本文分析了银行个人理财业务中的主观认知风险与客观风险,并进一步探讨了影响消费者风险认知的因素,提出了加强商业银行个人理财业务风险管理的相关建议。