the concept of the exchange rate risk

... 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 ... tài sản sở (ngoại tệ) @ X Call St>X Lỗ vốn Hòa vốn (at the money/deep) Hòa vốn St

Ngày tải lên: 09/05/2015, 21:15

... picture of the effect of exchange rates on bank stock returns In the money-center equation the coefficient of the exchange rate variable is significant at the 0.01 level whereas the coefficient of the ... empirically the 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 ... actual rate of return on the market portfolio, e is the actual rate of appreciation in the foreign-currency value of the domestic currency, and r is the actual percentage rate of change in the domestic...

Ngày tải lên: 22/03/2014, 17:20

... these risks The results of this study provide the first formal estimates of the joint effect of derivative exposures on the systematic interest rate and exchange rate risks of U S banks The rest of ... significant exchange rate risk betas than interest rate risk betas, the interest rate risk betas that are significant are all negative, while the signs of the significant exchange rate risk betas ... and et is the exchange rate risk factor measured by the percentage rate of change in currency exchange rate, i.e., (ft-ft-1)/ft-l when f is the value of the U S dollar against a basket of foreign...

Ngày tải lên: 29/03/2014, 13:20

... exchange rate The expression for PPP can then be written (in log-form) as vt = pt − pt* , (1) where pt is the log of the domestic price, pt* is the log of the foreign price, and vt is the log of the ... dominated by the prediction failures at the end of our sample Nevertheless, the results emphasise the importance of the interest rate differential in the long run when predicting exchange rate behaviour, ... (5) states that the nominal exchange rate is a function of both the price level differential and the interest rate differential, where the speed of adjustment to the interest rate differential...

Ngày tải lên: 15/02/2014, 05:20

... tế Với giả định giản lược này, mô hình nói Trang The Economics of Exchange Rate – Mark P Taylor mối liên hệ tỷ giá cân (equibilibrium exchange rate ) với số biến vĩ mô quan trọng khác GDP, lạm ... gia Trang The Economics of Exchange Rate – Mark P Taylor thị trường họ kỳ vọng mức vào hội kinh doanh Taylor trình bày mở rộng phân tích thêm hai quy luật mà thị trường ngoại hối tuân theo lý thuyết ... sử dụng đánh giá mẫu (in-samples test), lại Trang The Economics of Exchange Rate – Mark P Taylor cho kết ý nghĩa thống kê đánh giá mẫu (out -of- samples test) so sánh với mô hình thay đổi ngẫu...

Ngày tải lên: 12/03/2014, 16:05

... downward bias in the variability of the real rate depending on the level of the nominal equilibrium rate of interest The downward bias in the variability of the real rate accounts for the reduced ... recommends a switch to the nominal exchange rate as the policy instrument whenever the economy is stuck at the zero bound He suggests to set the rate of change of the nominal exchange rate just like ... investigate the role of the exchange rate for monetary policy by exploring the performance of the three different proposals for avoiding or escaping the liquidity trap by means of depreciation of the...

Ngày tải lên: 22/03/2014, 23:20

... affect the exporter’s profitability, it can affect the probability of loan default and, correspondingly, the value of the loan and the profitability of the bank 15 The estimates of exchange rate ... exposure of banks in terms of the sensitivity of the bank’s total value to changes in the exchange rate This allows us to appropriately incorporate the covariances among all of the activities of the ... construct estimates of the exchange rate sensitivity of the equity returns of the U.S bank holding companies and compare them to those of the Japanese banks We find that the stock returns of a significant...

Ngày tải lên: 29/03/2014, 13:20

... many of the same factors 1.2.2 Categories of exchange rates 1.2.2.1 Official and unofficial exchange rate With the floating exchange rate, exchange rate is determined by the market With the fixed ... at the same equal rate, shared a common mechanism 1.2 Categories of exchange rate 1.2.1 Definition of exchange rate and exchange rate regime The exchange rate is a comparison of price between the ... official exchange rate (listed by the Government) and an unofficial rate, also known as the parallel exchange rate or black market exchange rate The official exchange rate also has several types: the...

Ngày tải lên: 04/12/2014, 08:49

... interest rate will decrease the value of the Table 1: Exposure to interest rate Rate Changes of rate Lender Borrower Existing exposure Floating rate + - Rate - + Rate - + Rate Fixed Rate Rate + ... further aid the Vietcombank in its management interest rate risk 1.3 OBJECTIVES AND GOALS OF THE RESEARCH The objective of this thesis is to -4- To investigate the movement of the interest rate ... interest rate riks? What is the extent of interest rate risk in Vietcombank? Whether or not such risk affect to its profit? 1.4 METHODOLOGY The research methodology of the thesis is a case study The...

Ngày tải lên: 26/05/2015, 08:34

... volatility of the exchange rate is an increasing function of the transaction cost.7 This positive relationship between the volatility of the nominal exchange rate and the size of the transaction ... fluctuations—measured by the volatility of the consumption differential relative to the volatility of the real exchange rate decreases with the size of the distribution margin and the significance of the nontradable ... first study the response of the real exchange rate The salient feature of the real exchange rate in the data is that it is strongly correlated with the nominal exchange rate and almost equally...

Ngày tải lên: 09/04/2017, 00:23

... Foreign exchange rate volatility influences the value of the company since the future cash flows of the company will change with the fluctuations in the foreign exchange rates The deepening of globalization ... instrument the exchange rate is fixed at the moment when the risk appears The main disadvantage with these instruments is that they cannot benefit from a favorable movement of the exchange rate The ... value of the future cash flows is affected as a result of an unexpected change in the exchange rate The transaction exposure is the effect of unexpected change in the nominal exchange rate on the...

Ngày tải lên: 26/05/2015, 08:44

... to the percent deposit rate in the interest rate table on page of the report The passbook rate varies across the sample banks, so there is something to explain Among these banks, the passbook rate ... considered the riskiest assets a bank can hold, then the higher the loan-to-deposit ratio, the higher the deposit rate The larger the bank, as measured by (the log of) total assets, the more it ... J of the TO F R B^htiD at the close of business on the I day of ^ ^ 192.9 as found upon exami- nation made by the direction and authority of the Superintendent Location of Banks of the State of...

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, ... case especially the shape of the (past and current) term structure of interest rates We call this variable the change in the systematic factor of the exposure to interest rate risk The variables ... (which explains the multiplication with Ei (t) and the division by 130) The variable ki (t) states the ratio of the bank’s interest rate exposure to the interest rate risk exposure of the bond portfolio,...

Ngày tải lên: 16/02/2014, 06:20

Ngày tải lên: 18/02/2014, 11:20

... (1) where Δet is the change in the logarithm of the exchange rate at time t The mean of the exchange rate returns process, μ, the autocorrelation coefficient, ρ, and the variance of the innovation, ... interest rates, and exchange rates in order to assess the effect of U.S monetary policy shocks on other variables in the SVARs Although the results for interest rates are mixed, the impact of policy ... upon exchange rate volatility, although the number does increase when the authors account for the proximity of the next Bundesbank policy meeting; the closer the meeting, the more likely was the...

Ngày tải lên: 06/03/2014, 14:20

Ngày tải lên: 07/03/2014, 02:20

... that of the mortgages The proceeds of the sales of the notes can be used to pay of the CDs and reduce the duration gap Alternatively the thrift can buy a swap and take the fixed payment side of ... cash flows of the swap Assume that the realized or actual path of interest rates (LIBOR) over the four-year life of the contract will be: Table The realized path of interest rates End of the year ... principal on the cap is set equal to the level of the funding liability Also for any particular ceiling rate, market conditions will dictate the price of the cap, and so the net cost of the hedge...

Ngày tải lên: 15/03/2014, 01:20

... is from the matrix to the intramembrane space The integer coefcients of the right-hand side of the second equation of the system (3) were chosen on the basis of the knowledge of number of charges ... represents the result of the model described in the text 1ị Here, n is the total number of the experimental points, ~i is the experimentally measured value of the v ATPADP steady-state exchange rate ... The Vmax of Pi transport is much higher than the rates of adenylate transport and synthesis [55], and the Km is much lower than the concentration of Pi inside or outside of the matrix Thus, the...

Ngày tải lên: 16/03/2014, 00:20

... explains the long-term changes of exchange rate (The theory of the Interest Rate Parity) and explains the short-term fluctuations of exchange rate 1.1.2 Policies of exchange rate - Definition of exchange ... between exchange rate and the balance of payments in Vietnam in the future New contributions of the thesis The thesis The relation between exchange rate and the balance of payments – The theory and ... on the relationbetween exchange rate and the balance of payments - Second, the thesis investigates the reality of the balance of payments, policies of exchange rate and the relation between exchange...

Ngày tải lên: 23/08/2014, 14:15

... ) In other 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 ... the exchange rate In reality, the cost of defending the exchange rate stems from loss of reserves following intervention in the exchange- rate market and from changes in the inter- est rate The ... π , the policymaker trades off the benefits of ¯ reducing exchange- rate uncertainty against the cost of maintaining a band The term in the first line of (6) is the marginal effect of π on exchange- rate...

Ngày tải lên: 28/11/2014, 17:18