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.     

国际企业外汇经济风险受险额的测量及管理

对于国际企业三大外汇风险之一的经济风险,由于自身的特点导致其不易准确测量和不易管理,本文试图结合具体案例探讨国际企业外汇经济风险受险额的测量,并从三个方面阐述了外汇经济风险的管理策略。     

日本银行对外汇市场的介入

一、日本的外汇储备 根据国际货币基金组织(IMF)的统计,至2003年4月30日止,世界外汇储备最多的国家和地区依次为:第一位是日本,4923亿美元;第二位是中国大陆,3217亿美元(2003年3月末);第三位是欧共体十二国,2552亿美元;第四位是中国台湾,1712亿美元.     

The foreign exchange exposure of Chinese banks

Using the capital market approach and the equity price data of 14 listed Chinese banks, this empirical study finds that there is a positive relationship between bank size and foreign exchange exposure. This relationship may reflect the larger foreign exchange operations and trading positions of larger Chinese banks and their significant indirect foreign exchange exposure arising from impacts of the renminbi exchange rate movements on their customers. Empirical evidence also suggests that the average foreign exchange exposures of state-owned and joint-stock commercial banks in China are higher than those of banks in Hong Kong, notwithstanding their limited participation in international banking businesses compared with their Hong Kong counterparts. It is also found that negative foreign exchange exposure is prevalent for larger Chinese banks, suggesting that an appreciation of the renminbi tends to reduce their equity value. It is therefore likely that the banking sector's performance will be hampered. Together with the fact that decreases in equity values generally imply a higher default risk, the effects of different scenarios of renminbi appreciation on the default risk of Chinese banks should therefore be closely monitored.     

我国外汇储备的市场化管理探析

自1996年我国成为世界第二储备大国之后,近些年来我国外汇储备继续迅猛增长。截止2005年6月,我国外汇储备已超过7110亿美元。更有资料表明,在不久的将来,我国将超过日本,成为世界第一外汇储备大国。诚然,庞大的外汇储备对维持我国人民币汇率的稳定、提高我国的综合国力和国际地位起到了至关重要的作用。但是,巨额的外汇储备也是以牺牲储备资产的生产性运用为代价的。对于中国这样一个急需生产性资源的发展中国家来说,其持有外汇储备的机会成本更大。因此,在充分考虑我国外汇储备的流动性和安全性的同时,提高外汇储备资产管理的经济效益和资…     

Exchange rate uncertainty and the efficiency of the forward market for foreign exchange

Exchange Rate Uncertainty and the Efficiency of the Forward Market for Foreign Exchange. — The paper investigates to what extent exchange rate uncertainty can account for the observed deviations from the forward market efficiency hypothesis (FMEH). The empirical analysis employs a simple varying parameter regression to allow uncertainty to modify the central parameters of the FMEH in a direct way. Uncertainty is proxied by significant exchange rate changes. The results indicate that there is considerable support for the FMEH if one allows the intercept term to vary over time.     

Pricing of foreign exchange risk and market segmentation: Evidence from Pakistan's equity market

This paper undertakes empirical analysis to investigate whether foreign exchange rate risk is priced, and the extent to which the Pakistani equity market is integrated into world equity markets. For the period January 1993–January 2013, we investigate unconditional pricing using the iterated generalized method of moments, employing industry and size portfolios formed from 180 firms traded on the Karachi Stock Exchange. Using the multi beta asset pricing model, we find that exchange risk is priced into the Pakistani equity market over the full sample period. Moreover, we find strong evidence that the Pakistani equity market is segmented from world markets, especially in the post 9/11 period.     

Application of the Tobit model with autoregressive conditional heteroscedasticity for foreign exchange market interventions

In this empirical study, we apply the Tobit-GARCH model to investigate the intervention function of the Bank of Japan (BoJ) in the JPY/USD exchange market. The proposed model has the advantage of handling intervention data with both a majority of zero observations and conditional heteroscedasticity. Thus, the model provides better estimates of the intervention function than such conventional models as the standard Tobit, OLS, Probit, and traditional GARCH models. Results show that the intervention behavior of the BoJ is affected more by its half-year long-term target than its previous-day short-term target, and the BoJ generally follows the policy of “leaning against the wind”. The US-JP interest rate spread was never a trigger of BoJ's interventions during the sample period. The BoJ did not respond to the domestic stock index by the sales-intervention of the JPY, even when the economy was sluggish during the lost decade (1992–2004). However, its intervention behavior was significantly affected by U.S. interventions and was significantly persistent across some of the periods.     

新的汇率机制下出口企业外汇风险管理

对于出口企业来说，汇率风险直接显现在结汇数额上。近期人民币的升值，对于已经达成的出口交易，同等数额的外汇收入的人民币结汇金额就会因人民币升值而出现相应的减少。在理论上，我们称之为交易风险，即汇率变动给每一笆具体的外汇交易带来的价值变动。例如，某企业于2005年6月23日签订了一份合同金额为100万美元出口货款，7月22日支付美圆货款。     

The Russian foreign exchange market: Achievements on the path to liberalization

The paper analyzes Russia’s macroeconomic conditions and main trends in its foreign exchange market under financial liberalization. Structural changes in the Russian foreign exchange market are juxtaposed with major trends and proportions in the world’s forex market such as swap and futures operations and the increased role of the single European currency in the economy and finances. In the examination of the initial results of the dual currency basket policy of the Bank of Russia, the accent is on the foreign exchange market infrastructure, i.e., exchange business, clearing and settlements, as a necessary condition for Russia’s integration into the world’s financial system.     

Elasticity pessimism,expectations, and stability of the foreign exchange market

Conclusions This note has shown that, when trade volumes do not respond sufficiently to deviations from equilibrium of the exchange rate, and when speculative demand for foreign currency is assumed to be a stock demand, the dynamic stability of the foreign exchange market depends crucially on expectational assumptions. Of the expectational assumptions investigated here, only perfect myopic foresight is capable of providing dynamic stability, and then only when the sensitivity of speculators to capital gains is larger than a threshold value determined by other parameter values in the system.     

What has foreign exchange market intervention since the Plaza Agreement accomplished?

We review the conduct and scale of official intervention by monetary authorities in the U.S.A., Japan, and West Germany since the Plaza Agreement. Relative to trading volume and the stock of internatonally traded assets denominated in foreign currencies, intervention is small-scale and sporadic, hence at best limited to transitory effects. It does not appear to reduce volatility of daily exchange rates. Monetary authorities gamble that they will not suffer losses on their foreign currency holdings. Evidence in favor of sterilized foreign exchange market intervention as a way of conveying information to the private sector is far from convincing. Since changes in relative monetary growth rates are sufficient to alter bilateral exchange rates, monetary authorities can achieve their exchange rate preferences with domestic monetary policy, but at the cost of possible distortionary effects on monetary growth rates, domestic interest rates, and international capital flows.     

Empirical evidence on foreign exchange market intervention: Where do we stand?

Zusammenfassung Empirische Befunde zur Intervention auf den Devisenm?rkten. Wie ist der Stand der Dinge? — Die Autoren geben einen überblick über 15 empirische Studien, in denen die Ziele untersucht werden, die die Zentralbanken bei ihren Interventionen auf den Devisenm?rkten verfolgen. Die neueren Studien gehen über die übliche Verifikation des “leaning against the wind”-Verhaltens hinaus. Es zeigt sich, da\ die interventionistischen Reaktionen davon abh?ngen, ob sich eine W?hrung aufoder abwertet und ob sie im Vergleich zur Kaufkraftparit?t überoder unterbewertet ist. Au\erdem werden zehn empirische Studien, die die Wirksamkeit von Interventionen untersuchen, betrachtet. Anscheinend haben nur Interventionen mit einem ausreichenden Informationsgehalt eine Chance, den Wechselkurs zu beeinflussen.

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Résumé Des preuves empiriques sur l'intervention au marché des changes: où est-ce que nous nous trouvons? — Dans cette étude les auteurs font un aper?u de 15 études empiriques exécutées pour déterminer quels buts les banques centrales ont poursuivi avec leurs interventions au marché des changes. Les études les plus récentes ont réalisé plus que la vérification du comportement ?leaning against the wind?. On trouve que les réactions des banques centrales en fa?on d'une intervention dépendent de la direction que le cours du change va prendre (réévaluation ou déévaluation) et de la disparité entre le cours du change et la parité du pouvoir d'achat. En plus on a réexaminé 10 analyses empiriques concernant l'efficacité de l’intervention. Seulement les interventions qui contiennent beaucoup de nouvelles semblent avoir une chance d'influencer le taux de change.

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Resumen Evidencia empirica de la intervención en el mercado de cambios: ?dónde estamos parados? — Este trabajo pasa revista a quince estudios empiricos que han sido llevados a cabo con el fin de determinar qué objetivos persiguem los bancos centrales con sus intervenciones en el mercado de cambios. Los estudios mas recientes van más alla de la usual verificación de un actividad “en contra del viento”. La respuesta en forma de intervención resullta depender de si una moneda se encuentra en una revaluation o en una devaluación y de si esta subo sobrevaluada con respecto a la paridad del poder de compra. Además, se revisan diez investigaciones empiricas sobre la efectividad de la intervención. Sólo intervenciones que incorporan un contenido de informaciones suficiente parecen tener una oportunidad de afectar a la tasa de cambio.

     

对我国公路建设外汇贷款风险管理问题的思考

随着我国公路建设事业的快速发展，公路建设越来越多地使用外汇贷款，外汇贷款成为公路建设重要的资金来源之一。外汇贷款政策性强、涉及面广，不仅受国内经济、金融政策的制约。也受国外经济、金融形势的影响，还涉及公路项目的建设和营运等诸多因素；各种因素的不断变化给外汇贷款项目带来较大的风险。外汇利率和汇率微小的变化都将对用汇单位的还贷金额产生重大影响。在2004年2月，在大连召开的中国外币债务风险管理研讨会上，摩根士丹利亚洲固定收益部董事总经理刘嘉凌指出，在所有的风险管理中，汇率和利率的风险尤其重要。     

我国企业防范外汇风险的方法分析

随着我国加入世界贸易组织 (WTO的步伐的加快 ,以及我国企业改革的不断深化 ,有必要认清涉外企业在现行的有管理的浮动汇率制下所面临的外汇风险及其特征、构成要素 ,探讨提高涉外企业外汇风险管理能力的原则、方法     

Endogenous market structure and foreign market entry

Models dealing with cross-border acquisitions versus greenfield investment usually assume that the entry of a foreign firm into a market has effects on the outputs of all domestic firms in that market, but exit or entry of local firms is not considered. The purpose of this paper is to re-examine the acquisition versus greenfield versus exporting question under fixed versus free entry assumptions for local firms. Our finding is that greenfield entry and exporting options are more attractive relative to acquisition when the local market structure adjusts to foreign entry through local entry or exit than when it is fixed. With respect to welfare in the host economy, existing theory models and policy discussions maintain that the effects of greenfield versus acquisition entry differ substantially. We show that under free entry and exit, there is no difference between the two for consumer surplus, but acquisition improves welfare a little through rent extraction by the local acquired firm. Thus the existing conventional wisdom may be leading to inappropriate policy choices by host governments.