effects of exchange rate risk

... joint sensitivity of the rates of return of common stocks of large US banking institutions to interest rate, exchange rate and market risk factors Consideration of exchange rates as a factor ... nominal rate of return on stocks, R=E+SF+t, (1) where R is a vector of the nominal rate of stock returns at time t, E is a vector of expected stock returns at time t, F is a vector of risk factors ... regression of the firm’s stock returns on exchange rate changes, while Eun and Resnick (1988) show the empirical significance of systematic exchange rate risk Regarding the international activities of...

Ngày tải lên: 22/03/2014, 17:20

... interest rate and exchange rate risks Particularly noteworthy is the influence of currency derivatives on exchange rate betas Keywords: Off-balance sheet, Bank risk Derivatives, Interest rate risk, Exchange ... Rate and Exchange Rate Risks of U.S Banks November 1996 Abstract: This paper estimates the interest rate and exchange rate risk betas of fifty-nine large U S commercial banks for the period of ... is an excess rate of return of stock i over the risk- free rate q at time t, Rmt is an excess rate of return on market portfolio over the risk- free rate, rt is the interest rate risk factor measured...

Ngày tải lên: 29/03/2014, 13:20

Ngày tải lên: 18/02/2014, 11:20

Ngày tải lên: 07/03/2014, 02:20

... Study of the effects of several environmental and silvicultural factors on the density of wood of Norway spruce (Picea exelsa), silver fir (Abies alba) and Scots pine (Pinus sylvestris) of the ... three growth rate classes based on DBH o.b.: 1) high growth rate, over 11cm DBH o.b.; 2) intermediate growth rate, 8-11 cm DBH o.b.; and 3) low growth rate, under cm DBH o.b A total of 90 trees, ... result in lower wood density for the understorey trees The objective of this investigation was evaluate the effects of growth rate and birch shelterwood density on wood density traits for Norway...

Ngày tải lên: 08/08/2014, 14:21

... costs of defending it, he loses credibility The optimal exchange- rate regime reflects, therefore, a trade-off between reduction of exchange- rate uncertainty and the cost of committing to an exchange- rate ... currency face higher exchange- rate risks when there is more uncertainty about the nominal exchange rate By raising the foreign exchange risk premium, an increase in exchange- rate uncertainty reduces ... words, π is the maximal rate of appreciation and π is the ¯ maximal rate of depreciation that the exchange- rate band allows.9 But leaning against the trends of free exchange- rate markets is costly...

Ngày tải lên: 28/11/2014, 17:18

... fixed exchange rate is preferable, and more on these deeper institutional arrangements The Standard Theory of Choosing an Exchange Rate Regime Much of the analysis of choosing an exchange rate ... the part of the central bank in what can be a swirling political environment in emerging market countries A Misaligned Exchange Rate? One danger of a hard exchange rate peg is the risk of being ... exchange rate flexibility It rules out a fixed exchange rate regime but nothing else A country that allows a floating exchange rate may pursue a number of very different monetary policy strategies:...

Ngày tải lên: 28/11/2014, 17:18

... costs of defending it, he loses credibility The optimal exchange- rate regime reflects, therefore, a trade-off between reduction of exchange- rate uncertainty and the cost of committing to an exchange- rate ... currency face higher exchange- rate risks when there is more uncertainty about the nominal exchange rate By raising the foreign exchange risk premium, an increase in exchange- rate uncertainty reduces ... words, π is the maximal rate of appreciation and π is the ¯ maximal rate of depreciation that the exchange- rate band allows.9 But leaning against the trends of free exchange- rate markets is costly...

Ngày tải lên: 29/11/2014, 11:26

... balance using exchange rate 2.3 Impact of exchange rate on inflation The impacts of exchange rate on prices in local currency are estimated by exchange rate pass-through effect Exchange rate pass-through ... the exchange rate elasticity of price level 2.3.1 The mechanism of exchange rate s impacts on price level The impacts of exchange rate on prices in local currency are estimated by exchange rate ... Vietnam’s exchange rate regimes, 1989 - 2012 Time Before 1989 Applied regime Exchange rate regime’s features Multi -exchange - Three official exchange rates rate regime - Free market’s exchange rates...

Ngày tải lên: 05/03/2015, 09:08

... Public Less liquid (Ít linh động) Liquid (Linh động) Default risk (Rủi ro hủy hợp đồng) No default risk Legal risk (Rủi ro pháp lý) No legal risk No margin account (Không đặt cọc) Margin account Not ... đó, cho dù giá gạo thị trường sau ba tháng Forward contracts Forward rate & Interest rate parity – IRP Tỷ giá kỳ hạn (forward rate) tỷ giá áp dụng tương lai xác định Tỷ giá áp dụng cho giao dịch ... Lỗ vốn Hòa vốn (at the money/deep) Hòa vốn St

Ngày tải lên: 09/05/2015, 21:15

... face exchange rate risk However, the managed – floating exchange rate causes uncertainty of national currency in future Volatility in the foreign exchange rate is the one of the major sources of ... mutual exchange of different currencies Foreign Exchange is the simultaneous buying of one currency and selling of another (transfer of purchasing power) The price of one currency in terms of another ... currency of the operating units offshore to that of the parent potentially changes its equity In general there are also another definitions of risks: market risk, operating risk and settlement risk...

Ngày tải lên: 26/05/2015, 08:44

... issues of capital account liberalization in China have been studied They are the order of capital account liberalization, the choice of exchange rate regimes and one possible side-effect of liberalization—currency ... account Based on 87 countries’ exchange rate arrangement in three separate years, a Logit model is used to examine the determinants of choosing the appropriate exchange rate regimes The empirical ... reforms, and the design of monetary and exchange rate policy It concludes that capital account liberalization should be approached as an integrated part of comprehensive reform strategies and should...

Ngày tải lên: 02/10/2015, 12:56

... individual risks or encompass multiple risks The most widely used ones are: (1) market risk, which consists of four standard risk factors are interest rate risk, exchange rate risk, equity risk and ... OVERVIEW OF EXCHANGE RATE IN VIETNAM This chapter consists of an introduction to Vietnam exchange rate system, the development of exchange rate policies over some time periods, the comparison of these ... relationship between exchange rate and GDP growth rate Figure 3.6: The relationship between exchange rate and inflation rate Figure 3.7: The relationship between exchange rate and interest rate Figure...

Ngày tải lên: 22/10/2015, 13:17

... three official exchange rates Official exchange rate: the first official exchange rate is built between Vietnam Dong and China Yuan Renminbi After that, base on exchange rate of China Yuan Renminbi ... Aids Exchange rate for Overseas national currency exchange: It is established base on official exchange rate with that foreign currency and plus percent of stimulation "Black-market" exchange rate ... apply “cross rate method to calculate exchange rate with other foreign currencies An important exchange rate in this time which is established by “cross rate is Rup clearing Exchange rate for internal...

Ngày tải lên: 30/10/2016, 15:59

... fluctuation of exchange rate in 2000-2010 period 38 3.3.1 Nominal exchange rate under management of The State bank of Vietnam and the role of US Dollar 38 3.3.2 Movement of real exchange rates ... mentioned exchange rate in this study is quoted directly 2.1.2 Nominal exchange rate and real exchange rate 2.1.2.1 Bilateral nominal and real exchange rate The bilateral nominal exchange rate (NER) ... role of exchange rate policy to trade balance 2.4.1 Exchange rate policy concepts As one of key components of monetary policy, exchange rate policy, in broad meaning, is all activities of government...

Ngày tải lên: 07/04/2017, 15:22

... provided in Tables 50 and 51 of the December issue of RBI Bulletin Table 4: Indices of Real Effective Exchange Rate (REER) and Nominal Effective Exchange Rate (NEER) of the Indian Rupee (36-Currency ... trading partner of India The exchange rate of a currency is expressed as the number of units of numaraire (SDRs) per ith currency A rise in ‘e’ or ‘e/ei,’ thus represents an appreciation of rupee relative ... data on monthly exchange rates and prices for 36 currencies is the IFS of the International Monetary Fund2 With the IFS providing data on exchange rate and prices with a lag of at least three...

Ngày tải lên: 17/09/2012, 16:47

... compared the effects of 50 mg p-synephrine (as Advantra Z®) alone with three different amounts of hesperidin and naringin on: (1) resting metabolism rate, (2) blood pressure, (3) resting heart -rate, ... study Strengths of the study are the use of randomized placebo-controlled double-blinded study design, the absence of thermogenic changes in the placebo group, the absence of adverse effects on blood ... 600 mg of naringin and 100 mg of hesperidin No increase in heart rate or blood pressure was observed over the 75 of the study nor were there any differences in a self-reported rating of 10 common...

Ngày tải lên: 25/10/2012, 11:04

... tests of the monetary exchange rate model for three high-inflation countries, Journal of Money, Credit and Banking, 26, 396-411 Meese, R.A and K Rogoff (1983): Empirical Exchange Rate Models of ... and impulse dummies) The exchange rate model therefore contains three lags of the difference of each of If iq is the quarterly interest rate and ia is the annual interest rate, the relationship ... prices and interest rate will cause the exchange rate to depreciate in the short run, and a higher foreign price and interest rate will imply an appreciation of the exchange rate Historically,...

Ngày tải lên: 15/02/2014, 05:20

... strands of the literature of the banks’ interest rate risk (See Staikouras (2003) and Staikouras (2006) for a survey) The first one is about the determinants of the banks’ exposure to interest rate risk, ... states the ratio of the bank’s interest rate exposure to the interest rate risk exposure of the bond portfolio, i.e ki (t) = BV Pi (t) BV PS (11) If the same exposure to interest rate risk translates ... in terms of risk units Conclusion Using a unique dataset of German banks’ exposure to interest rate risk, we can address questions about the banks’ behavior concerning this sort of risk and about...

Ngày tải lên: 16/02/2014, 06:20