Wechselkursrisiko und Risikopolitik in internationalen Unternehmen

2008 ◽  
Vol 59 (1) ◽  
Author(s):  
Udo Broll ◽  
Jack E. Wahl
Keyword(s):  
Exchange Rate ◽  
Risk Aversion ◽  
Income Effect ◽  
Exchange Rate Risk ◽  
Hedge Ratio ◽  
International Firm ◽  
Rate Risk ◽  
Risk Effect ◽  
Optimal Hedge ◽  
Mean Variance

SummaryThe aim of this study is to analyze the importance of the elasticity of risk aversion with regard to an increase in exchange rate risk for exports and hedging in an international firm. Mean-variance preferences allow for an immediate study of the entailed substitution and income effect. These effects may cancel out, that is to say, the optimal hedge ratio remains unchanged although the exchange rate risk increases. The elasticity of risk aversion provides an unambiguous answer to the question how to measure such risk effect.

scholarly journals Managing Exchange Rate Risk with Derivatives: An Application of the Hedge Ratio

2020 ◽  
Vol 64 (3) ◽  
pp. 316-327
Author(s):  
Consuela-Elena Popescu ◽  
◽  
Georgiana Vrinceanu ◽  
Alexandra Horobet ◽  
Lucian Belascu ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Risk ◽  
Hedge Ratio ◽  
Rate Risk

Exchange Rate Risk Related to MICEX and RTS Indices

2015 ◽  
Vol 6 (7) ◽  
pp. 1375-1383
Author(s):  
Hana Florianová ◽  
Barbora Chmelíková
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Risk ◽  
Rate Risk

ANALISIS EKSPOSUR EKONOMI DAN FAKTOR-FAKTOR YANG MEMPENGARUHINYA PADA PERUSAHAAN ROKOK YANG TERCATAT DI BEI

Wahana ◽  
2019 ◽  
Vol 21 (2) ◽  
pp. 98-109
Author(s):  
Ida Musdafia Ibrahim ◽  
Arif Haryono
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Cash Flow ◽  
Firm Value ◽  
Tobacco Industry ◽  
Cash Flows ◽  
Least Square ◽  
Exchange Rate Risk ◽  
Positive Effects ◽  
Rate Risk

This study aims to analyze economic exposures and its factors namely exchange rates and inflation, that influence firm value as reflected through firm cash flow. Analytical method used Ordinary Least Square and eviews as analytical tool. This study used secondary data and cigarette industry companies listed on the Indonesia Stock Exchange as samples along 2008 to 2017. Samples choosing method used purposive sampling based on determined criterias. The results showed that partially economic exposure had positive effects on firm value but insignificant. These could be seen from the economic exposure factors influncenced namely exchange rates and inflations.The exchange rate risk has low influenced cash flow was caused of the tobacco industry has low level of export/import.Enhance,inflation also had low effect on cash flow was caused of the tendency of cigarette consumers will continue to buy cigarettes even though its price increases. In short, economic exposure in the tobacco industry has low influence toward firms value. Hence, simultaneously changes in exchange rates and inflation which are economic exposure indicators have a significant effect on cash flows.  Keywords: Economic Exposure, Exchange Rate Risk, Inflation Risk, Firms Value, Cash Flow

Islamic hedging for pilgrimage funds: case of Indonesia

2019 ◽  
Vol 11 (3) ◽  
pp. 328-341
Author(s):  
Rifki Ismal ◽  
Nurul Izzati Septiana
Keyword(s):  
Exchange Rate ◽  
The Other ◽  
Exchange Rate Risk ◽  
Content Type ◽  
Other Hand ◽  
Rate Risk ◽  
Risk Identify ◽  
Hajj Season ◽  
The Right ◽  
Very High

Purpose The demand for Saudi Arabian real (SAR) is very high in the pilgrimage (hajj) season while the authority, unfortunately, does not hedge the hajj funds. As such, the hajj funds are potentially exposed to exchange rate risk, which can impact the value of hajj funds and generate extra cost to the pilgrims. The purpose of this paper is to conduct simulations of Islamic hedging for pilgrimage funds to: mitigate and minimize exchange rate risk, identify and recommend the ideal time, amount and tenors of Islamic hedging for hajj funds, estimate cost saving by pursuing Islamic hedging and propose technical and general recommendations for the authority. Design/methodology/approach Forward transaction mechanism is adopted to compute Islamic forward between SAR and Rupiah (Indonesian currency) or IDR. Findings – based on simulations, the paper finds that: the longer the Islamic hedging tenors, the better is the result of Islamic hedging, the decreasing of IDR/USD is the right time to hedge the hajj funds and, on the other hand, the IDR/SAR appreciation is not the right time to hedge the hajj funds. Findings Based on simulations, the paper finds that: the longer the Islamic hedging tenors, the better is the result of Islamic hedging, the decreasing of IDR/USD is the right time to hedge the hajj funds and, on the other hand, the IDR/SAR appreciation is not the right time to hedge the hajj funds. Research limitations/implications The research suggests the authority to (and not to) hedge the hajj fund, depending on economic conditions and market indicators. Even though the assessment is for the Indonesian case, other countries maintaining hajj funds might also learn from this paper. Originality/value To the best of author’s knowledge, this is the first paper in Indonesia that attempts to simulate the optimal hedging of hajj funds.

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