This paper investigates the impact of exchange rate fluctuations on the value of nonfinancial firms in Chile. Using a detailed dataset on firms’ foreign activities, the potential determinants of the identified exposure are examined. Foreign exchange exposure depends on the levels of foreign currency debt and foreign currency assets. Levels of tradeables (exports and imports) do not explain expo...

This paper presents results from an in-depth analysis of the foreign exchange rate exposure of a large nonfinancial firm based on proprietary internal data including cash flows, derivatives and foreign currency debt, as well as external capital market data. While the operations of the multinational firm have significant exposure to foreign exchange rate risk due to foreign currency-based activi...

There has been considerable growth in the derivatives holdings of Taiwanese insurance companies in recent years and this study examines the determinants of derivative use for both life and non-life companies. The determinants are different in the two insurance sectors. For the life sector, we find that large firms and firms exposed to either foreign exchange risk or interest rate risk (due to t...

In this paper we formulate a model for foreign exchange exposure management and (international) cash management taking into consideration random fluctuations of exchange rates. A vector error correction model (VECM) is used to predict the random behaviour of the forward as well as spot rates connecting dollar and sterling. A two-stage stochastic programming (TWOSP) decision model is formulated ...

Following the well-known approach by Adler and Dumas (1984) we evaluate the foreign exchange rate exposure of nations. Results based on data from 27 countries show that national foreign exchange rate exposures are significantly related to the current balance variables of corresponding economies. JEL Classification: G15, F31

a r t i c l e i n f o JEL classification: C1 C11 E5 F3 Keywords: Foreign exchange reserves Liquidity management Gamma process In order to cope with daily foreign currency exchange payments or trades and avoid liquidity crisis, central banks need to maintain the liquidity of foreign exchange reserves. In this paper, we develop a Foreign Exchange Reserves Liquidity Management (FERLM) model based ...

This study investigates the foreign exchange exposure management of some Swedish and UK firms’ foreign exchange exposure management at three occasions, 1985, 1996, and in 2008. We find that foreign exchange exposure management has become a more centralised activity. This centralisation is driven by the introduction of new administrative systems, the introduction of new legislation (IFRS), earli...