Search results

1 – 10 of over 12000
Book part
Publication date: 23 December 2005

Jing Chi and Martin Young

While China is currently moving toward the full development of its own financial derivatives markets, to date, China's experience with these has been a negative one. This paper…

Abstract

While China is currently moving toward the full development of its own financial derivatives markets, to date, China's experience with these has been a negative one. This paper examines the importance to China of developing a fully integrated financial derivatives market from both the economic and financial market perspectives. It examines the best way forward for derivative trading, both market based and over-the-counter, and the types of products best suited to both, given the current state of the Chinese financial markets. Consideration is given to market structure, regulation, trading and settlement systems and international cooperation.

Details

Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century
Type: Book
ISBN: 978-0-76231-258-0

Book part
Publication date: 2 September 2020

Serdar Ogel, Adem Boyukaslan and Semih Acikgozoglu

The present study aims to reveal knowledge, report on perception level and look at the evaluation of exchange rate risk management techniques of enterprises registered to…

Abstract

The present study aims to reveal knowledge, report on perception level and look at the evaluation of exchange rate risk management techniques of enterprises registered to Afyonkarahisar Chamber of Commerce and Industry. In order to achieve this, the authors conducted a study that included a field-survey and consisted of 223 enterprises that have foreign trade transactions in Afyonkarahisar city. The data that were used in the analysis had been collected via a survey and they were statistically evaluated by SPSS program.

Within the scope of the study, the authors investigated the determination of corporational identity of the sampled manufacturing enterprises, organisational structure of finance departments, determination of ownership structures of these enterprises, determination of foreign exchange risk perceptions, classification of exchange rate risks according to industry type and the determination of risk management instruments such as internal and external hedging strategies and information and usage levels of derivative instruments.

The most important result obtained in the study is that the majority of the companies, which operate in a competitive environment, are intensely exposed to foreign exchange risk but try to overcome the foreign exchange risk using traditional internal firm-level hedging methods instead of well-reputed external hedging methods or derivative instruments. Firms declared to be out of knowledge – by any means – for derivative instruments as the main reason for not utilising a well-reputed external foreign exchange risk management techniques.

Details

Contemporary Issues in Business Economics and Finance
Type: Book
ISBN: 978-1-83909-604-4

Keywords

Book part
Publication date: 2 March 2011

Martín Grandes, Marcel Peter and Nicolas Pinaud

The currency premium is one of the three components of the differential between local and foreign interest rates. Emerging economies such as South Africa typically face positive…

Abstract

The currency premium is one of the three components of the differential between local and foreign interest rates. Emerging economies such as South Africa typically face positive interest rate differentials, that is, a higher cost of capital than developed economies. In this chapter we aim at identifying the determinants of the South African rand–U.S. dollar currency premium using monthly data over the period 1997–2008. We carry out an empirical analysis using dynamic time series econometric techniques to estimate the determinants of the one-month and one-year currency premia. Our findings show that the currency premia at both horizons are driven by long-run movements in the expected inflation differential between South Africa and the United States, risk aversion as a proxy for the price of rand exchange risk, and the volatility of the rand exchange rate as an indicator of the quantity of that risk. Misalignments in the real effective or rand–U.S. dollar bilateral exchange rates display mixed results in terms of their impact and statistical significance on both currency premium. Our parameter estimators overall are stable and robust to sample variations. Monetary policy is an important determinant of currency premia at both one-month and one-year horizons, but risk aversion is equally important to determine its time fluctuations.

Details

The Impact of the Global Financial Crisis on Emerging Financial Markets
Type: Book
ISBN: 978-0-85724-754-4

Keywords

Abstract

Details

Central Bank Policy: Theory and Practice
Type: Book
ISBN: 978-1-78973-751-6

Book part
Publication date: 28 October 2019

Angelo Corelli

Abstract

Details

Understanding Financial Risk Management, Second Edition
Type: Book
ISBN: 978-1-78973-794-3

Book part
Publication date: 1 January 2006

Jongmoo Jay Choi and Eric C. Tsai

Conventional foreign direct investment (FDI) theories regard FDIs as strategic moves based on operational or industrial organization considerations. We demonstrate that financial…

Abstract

Conventional foreign direct investment (FDI) theories regard FDIs as strategic moves based on operational or industrial organization considerations. We demonstrate that financial factors are also important in corporate FDI decisions. The financial factors concern internal capital market strength and corporate governance and include exchange rate changes, internal and external financing cost, risk diversification, and agency costs. There is variability in the significance of financial variables depending on industries and destinations. The integrated model with both strategic and financial factors is superior to either component model in explaining FDIs. However, financial factors are no less important in explaining the prevailing FDI phenomena than strategic or operational variables.

Details

Value Creation in Multinational Enterprise
Type: Book
ISBN: 978-1-84950-475-1

Book part
Publication date: 4 March 2015

Dragiša Otašević

Banking sectors in central, eastern and southeastern European (CESEE) countries have gone through a transformation from state-ownership and central planning to private ownership…

Abstract

Banking sectors in central, eastern and southeastern European (CESEE) countries have gone through a transformation from state-ownership and central planning to private ownership and market-oriented decision making during the first decade of the 21st century. However, financial markets in these countries are still developing and the private sector is highly exposed to changes in exchange rates, especially in terms of the balance sheet channel. The fact that these banking sectors are predominantly owned by eurozone banks makes them vulnerable to macroeconomic tensions in the European union. This analysis investigates macroeconomic determinants of the realisation of credit risk in the loan portfolio of banks in Serbia using a panel data set covering the period from 2008Q3 to 2012Q2. Three different panel methods were applied separately for loans to households and loans to enterprises. The results indicate that a deteriorating business cycle and exchange rate depreciation led to the worsening of the quality of banks’ loan portfolio in Serbia in the period under review. In addition, statistical evidence indicates that the CPI inflation additionally affected the quality of loans. Furthermore, we find that household loan portfolios are also sensitive to changes in the short-run interest rates. As for policy implications, the importance of international cooperation between regulators is rising. A very important topic for such cooperation should be the risk-taking channel between countries with significant differences in interest rates and degree of riskiness. The interrelationship between the exchange rate and credit risk should be a major focus of both domestic macro- and micro-prudential policy – banks should be motivated to pay more attention to the possible negative spillovers when making credit decisions. Also, further development of the domestic primary and secondary T-bills market would help reducing unhedged FX risks.

Book part
Publication date: 29 December 2016

Ehab Yamani

This chapter identifies three crisis warning indicators driven from trading in emerging markets’ carry trades, and empirically examines whether these indicators could predict two…

Abstract

This chapter identifies three crisis warning indicators driven from trading in emerging markets’ carry trades, and empirically examines whether these indicators could predict two major financial crises that hit the global financial markets in the last decades — The 1997–1998 Asian crisis and the 2007–2008 global crisis. The probit regression is used to examine the power of the three indicators in forecasting financial crises, using data from eight Asian emerging countries which serve as proxies for emerging markets, independent of the origination of the crisis. I use both fixed effect and random effect estimation to measure crisis impacts. The empirical results show that financial crises could have been predicted. Probit estimation show that carry trade returns can predict a financial crisis, and the estimation results are robust to both panel level and country-level analysis. These three indicators are by no means an exhaustive list of all possible predictors of financial crisis. The literature suggests other fundamental indicators of financial crises such as the current account deficit and foreign debt. However, this chapter cannot fully consider these indicators for lack of data at this point in time. Although financial crisis may be better predicted by the well-known fundamental indicators, the contribution of this chapter is simply that carry trade-related indicators can help in predicting crises.

Details

Risk Management in Emerging Markets
Type: Book
ISBN: 978-1-78635-451-8

Keywords

Book part
Publication date: 29 December 2016

Emawtee Bissoondoyal-Bheenick, Robert Brooks, Sirimon Treepongkaruna and Marvin Wee

This chapter investigates the determinants of the volatility of spread in the over-the-counter foreign exchange market and examines whether the relationships differ in the crisis…

Abstract

This chapter investigates the determinants of the volatility of spread in the over-the-counter foreign exchange market and examines whether the relationships differ in the crisis periods. We compute the measures for the volatility of liquidity by using bid-ask spread data sampled at a high frequency of five minutes. By examining 11 currencies over a 13-year sample period, we utilize a balanced dynamic panel regression to investigate whether the risk associated with the currencies quoted or trading activity affects the variability of liquidity provision in the FX market and examine whether the crisis periods have any effect. We find that both the level of spread and volatility of spread increases during the crisis periods for the currencies of emerging countries. In addition, we find increases in risks associated with the currencies proxied by realized volatility during the crisis periods. We also show risks associated with the currency are the major determinants of the variability of liquidity and that these relationships strengthen during periods of uncertainty. First, we develop measures to capture the variability of liquidity. Our measures to capture the variability of liquidity are non-parametric and model-free variable. Second, we contribute to the debate of whether variability of liquidity is adverse to market participants by examining what drives the variability of liquidity. Finally, we analyze seven crisis periods, allowing us to document the effect of the crises on determinants of variability of liquidity over time.

Details

Risk Management in Emerging Markets
Type: Book
ISBN: 978-1-78635-451-8

Keywords

Book part
Publication date: 1 January 2006

Patrick J. Schena

This paper explores the sensitivity of Chinese stock returns to changes in trade-weighted indexes of the renminbi (RMB) and the currencies of China's trading partners from 1999 to…

Abstract

This paper explores the sensitivity of Chinese stock returns to changes in trade-weighted indexes of the renminbi (RMB) and the currencies of China's trading partners from 1999 to 2003. It analyses this exposure elasticity cross-sectionally using accounting variables to proxy for size and costs of financial distress. It finds that internationally oriented Chinese companies have experienced exchange exposure particularly against the yen. It also finds that, against a trade-weighted index, there is no empirical evidence that Chinese firms are engaged in hedging activities. However, when exposures are measured in yen terms, it finds that Chinese firms, particularly exporters, engage in active currency hedging.

Details

Value Creation in Multinational Enterprise
Type: Book
ISBN: 978-1-84950-475-1

1 – 10 of over 12000