... 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
... picture ofthe effect ofexchange rates on bank stock returns In the money-center equation the coefficient oftheexchangerate variable is significant at the 0.01 level whereas the coefficient ofthe ... empirically the joint sensitivity ofthe rates of return of common stocks of large US banking institutions to interest rate, exchangerate and market risk factors Consideration ofexchange rates as ... actual rateof return on the market portfolio, e is the actual rateof appreciation in the foreign-currency value ofthe domestic currency, and r is the actual percentage rateof change in the domestic...
... these risks The results of this study provide the first formal estimates ofthe joint effect of derivative exposures on the systematic interest rate and exchangerate risks of U S banks The rest of ... significant exchangeraterisk betas than interest raterisk betas, the interest raterisk betas that are significant are all negative, while the signs ofthe significant exchangeraterisk betas ... and et is theexchangeraterisk factor measured by the percentage rateof change in currency exchange rate, i.e., (ft-ft-1)/ft-l when f is the value ofthe U S dollar against a basket of foreign...
... exchangerateThe expression for PPP can then be written (in log-form) as vt = pt − pt* , (1) where pt is the log ofthe domestic price, pt* is the log ofthe foreign price, and vt is the log ofthe ... dominated by the prediction failures at the end of our sample Nevertheless, the results emphasise the importance ofthe interest rate differential in the long run when predicting exchangerate behaviour, ... (5) states that the nominal exchangerate is a function of both the price level differential and the interest rate differential, where the speed of adjustment to the interest rate differential...
... tế Với giả định giản lược này, mô hình nói Trang The Economics ofExchangeRate – Mark P Taylor mối liên hệ tỷ giá cân (equibilibrium exchangerate ) với số biến vĩ mô quan trọng khác GDP, lạm ... gia Trang The Economics ofExchangeRate – 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 ofExchangeRate – Mark P Taylor cho kết ý nghĩa thống kê đánh giá mẫu (out -of- samples test) so sánh với mô hình thay đổi ngẫu...
... downward bias in the variability ofthe real rate depending on the level ofthe nominal equilibrium rateof interest The downward bias in the variability ofthe real rate accounts for the reduced ... recommends a switch to the nominal exchangerate as the policy instrument whenever the economy is stuck at the zero bound He suggests to set therateof change ofthe nominal exchangerate just like ... investigate the role oftheexchangerate for monetary policy by exploring the performance ofthe three different proposals for avoiding or escaping the liquidity trap by means of depreciation of the...
... affect the exporter’s profitability, it can affect the probability of loan default and, correspondingly, the value ofthe loan and the profitability ofthe bank 15 The estimates ofexchangerate ... exposure of banks in terms ofthe sensitivity ofthe bank’s total value to changes in theexchangerate This allows us to appropriately incorporate the covariances among all ofthe activities ofthe ... construct estimates oftheexchangerate sensitivity ofthe equity returns ofthe U.S bank holding companies and compare them to those ofthe Japanese banks We find that the stock returns of a significant...
... many ofthe same factors 1.2.2 Categories ofexchange rates 1.2.2.1 Official and unofficial exchangerate With the floating exchange rate, exchangerate is determined by the market With the fixed ... at the same equal rate, shared a common mechanism 1.2 Categories ofexchangerate 1.2.1 Definition ofexchangerate and exchangerate regime Theexchangerate is a comparison of price between the ... official exchangerate (listed by the Government) and an unofficial rate, also known as the parallel exchangerate or black market exchangerateThe official exchangerate also has several types: the...
... interest rate will decrease the value ofthe Table 1: Exposure to interest rateRate Changes ofrate Lender Borrower Existing exposure Floating rate + - Rate - + Rate - + Rate Fixed RateRate + ... further aid the Vietcombank in its management interest raterisk 1.3 OBJECTIVES AND GOALS OFTHE RESEARCH The objective of this thesis is to -4- To investigate the movement ofthe interest rate ... interest rate riks? What is the extent of interest raterisk in Vietcombank? Whether or not such risk affect to its profit? 1.4 METHODOLOGY The research methodology ofthe thesis is a case study The...
... volatility oftheexchangerate is an increasing function ofthe transaction cost.7 This positive relationship between the volatility ofthe nominal exchangerate and the size ofthe transaction ... fluctuations—measured by the volatility ofthe consumption differential relative to the volatility ofthe real exchangerate decreases with the size ofthe distribution margin and the significance ofthe nontradable ... first study the response ofthe real exchangerateThe salient feature ofthe real exchangerate in the data is that it is strongly correlated with the nominal exchangerate and almost equally...
... Foreign exchangerate volatility influences the value ofthe company since the future cash flows ofthe company will change with the fluctuations in the foreign exchange rates The deepening of globalization ... instrument theexchangerate is fixed at the moment when therisk appears The main disadvantage with these instruments is that they cannot benefit from a favorable movement oftheexchangerateThe ... value ofthe future cash flows is affected as a result of an unexpected change in theexchangerateThe transaction exposure is the effect of unexpected change in the nominal exchangerate on the...
... to the percent deposit rate in the interest rate table on page ofthe 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 rateThe larger the bank, as measured by (the log of) total assets, the more it ... J ofthe 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 ofthe Superintendent Location of Banks ofthe State of...
... strands ofthe literature ofthe banks’ interest raterisk (See Staikouras (2003) and Staikouras (2006) for a survey) The first one is about the determinants ofthe banks’ exposure to interest rate risk, ... case especially the shape ofthe (past and current) term structure of interest rates We call this variable the change in the systematic factor ofthe exposure to interest rateriskThe variables ... (which explains the multiplication with Ei (t) and the division by 130) The variable ki (t) states the ratio ofthe bank’s interest rate exposure to the interest raterisk exposure ofthe bond portfolio,...
... (1) where Δet is the change in the logarithm oftheexchangerate at time t The mean oftheexchangerate returns process, μ, the autocorrelation coefficient, ρ, and the variance ofthe 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 exchangerate volatility, although the number does increase when the authors account for the proximity ofthe next Bundesbank policy meeting; the closer the meeting, the more likely was the...
... that ofthe mortgages The proceeds ofthe sales ofthe notes can be used to pay ofthe CDs and reduce the duration gap Alternatively the thrift can buy a swap and take the fixed payment side of ... cash flows ofthe swap Assume that the realized or actual path of interest rates (LIBOR) over the four-year life ofthe contract will be: Table The realized path of interest rates End ofthe year ... principal on the cap is set equal to the level ofthe funding liability Also for any particular ceiling rate, market conditions will dictate the price ofthe cap, and so the net cost ofthe hedge...
... is from the matrix to the intramembrane space The integer coefcients ofthe right-hand side ofthe second equation ofthe system (3) were chosen on the basis ofthe knowledge of number of charges ... represents the result ofthe model described in the text 1ị Here, n is the total number ofthe experimental points, ~i is the experimentally measured value ofthe v ATPADP steady-state exchangerate ... 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 ofthe matrix Thus, the...
... explains the long-term changes ofexchangerate (The theory ofthe Interest Rate Parity) and explains the short-term fluctuations ofexchangerate 1.1.2 Policies ofexchangerate - Definition ofexchange ... between exchangerate and the balance of payments in Vietnam in the future New contributions ofthe thesis The thesis The relation between exchangerate and the balance of payments – The theory and ... on the relationbetween exchangerate and the balance of payments - Second, the thesis investigates the reality ofthe balance of payments, policies ofexchangerate and the relation between exchange...
... ) In other words, π is the maximal rateof appreciation and π is the ¯ maximal rateof depreciation that the exchange- rate band allows.9 But leaning against the trends of free exchange- rate ... theexchangerate In reality, the cost of defending theexchangerate stems from loss of reserves following intervention in the exchange- rate market and from changes in the inter- est rateThe ... 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...