International financial operations: arbitrage, hedging, speculation, financing and investment
"This book aims to provide an integrated treatment of international financial operations, taking into account some real world complexities such as bid/offer spreads, transaction costs, capital rationing and market imperfections."--BOOK JACKET.
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Basingstoke, Hampshire [u.a.]
Palgrave Macmillan
2003
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| Subjects: | |
| Online Access: | Publisher description Table of contents Inhaltsverzeichnis |
| Summary: | "This book aims to provide an integrated treatment of international financial operations, taking into account some real world complexities such as bid/offer spreads, transaction costs, capital rationing and market imperfections."--BOOK JACKET. |
| Physical Description: | XXII, 362 S. graph. Darst. |
| ISBN: | 0333998596 |
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MARC
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| 100 | 1 | |a Moosa, Imad A. |d 1952- |e Verfasser |0 (DE-588)115539948 |4 aut | |
| 245 | 1 | 0 | |a International financial operations |b arbitrage, hedging, speculation, financing and investment |c Imad A. Moosa |
| 264 | 1 | |a Basingstoke, Hampshire [u.a.] |b Palgrave Macmillan |c 2003 | |
| 300 | |a XXII, 362 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 520 | 1 | |a "This book aims to provide an integrated treatment of international financial operations, taking into account some real world complexities such as bid/offer spreads, transaction costs, capital rationing and market imperfections."--BOOK JACKET. | |
| 650 | 4 | |a Arbitrage | |
| 650 | 4 | |a Hedging (Finance) | |
| 650 | 4 | |a Speculation | |
| 650 | 4 | |a Investments | |
| 856 | 4 | |u http://www.loc.gov/catdir/description/hol041/2003042933.html |3 Publisher description | |
| 856 | 4 | |u http://www.loc.gov/catdir/toc/hol041/2003042933.html |3 Table of contents | |
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Record in the Search Index
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|---|---|
| adam_text | Contents
List of Figures ix
List of Tables xiii
Currency Symbols xv
List of Abbreviations xvi
Notation and Conventions xviii
Preface xx
1 Two-Currency, Three-Currency and Multi-Currency Arbitrage 1
1.1 Definition of Arbitrage 1
1.2 Two-Currency Arbitrage 2
1.3 Three-Currency Arbitrage 12
1.4 Multi-Currency Arbitrage 15
1.5 Examples 17
2 Covered and Uncovered Interest Arbitrage 19
2.1 Covered Interest Arbitrage Without Distortions 19
2.2 The No-Arbitrage Condition With Bid-Offer Spreads 24
2.3 Deviations From the CIP No-Arbitrage Condition 26
2.4 Combining Covered Arbitrage With Three-Currency Arbitrage 36
2.5 Uncovered Interest Arbitrage 39
3 Other Kinds of Arbitrage and Some Extensions 44
3.1 Commodity Arbitrage 44
3.2 Arbitrage Under the Gold Standard 47
3.3 Arbitrage Between Eurocurrency and Domestic Interest Rates 49
3.4 Eurocurrency-Eurobond Arbitrage 51
3.5 Arbitrage Between Currency Futures and Forward Contracts 52
3.6 Real Interest Arbitrage 53
3.7 Uncovered Arbitrage When the Cross Rates Are Stable 54
3.8 Uncovered Interest Arbitrage When the Base Currency Is
Pegged to a Basket 57
3.9 Misconceptions About Arbitrage 60
4 vi
§vij| CONTENTS
4 Hedging Exposure to Foreign Exchange Risk: The Basic Concepts 65
4.1 Definition and Measurement of Foreign Exchange Risk 65
4.2 Value at Risk 69
4.3 Definition and Measurement of Exposure to Foreign
Exchange Risk 73
4.4 Transaction Exposure 82
4.5 Economic and Operating Exposure 84
4.6 A Formal Treatment of Operating Exposure 93
4.7 Translation Exposure 100
5 Financial and Operational Hedging of Exposure to Foreign
Exchange Risk 105
5.1 Why Do Firms Hedge Exposure to Foreign Exchange Risk? 105
5.2 To Hedge or Not to Hedge? 106
5.3 The Design of a Hedging Strategy 110
5.4 The Basic Principles of Hedging 110
5.5 Money Market Hedging of Short-Term Transaction Exposure 118
5.6 Forward and Futures Hedging of Short-Term
Transaction Exposure 124
5.7 Options Hedging of Short-Term Transaction Exposure 128
5.8 Financial Hedging of Long-Term Transaction Exposure 137
5.9 Other Financial and Operational Techniques of
Hedging Transaction Exposure 138
5.10 Hedging Operating Exposure 147
5.11 Hedging Translation Exposure 149
5.12 What Do Firms Do in Practice? 150
6 Measuring the Hedge Ratio 156
6.1 The Concept of the Hedge Ratio 156
6.2 Measuring the Optimal Hedge Ratio 158
6.3 Empirical Models of the Hedge Ratio 160
6.4 Evaluating the Effectiveness of Hedging 167
6.5 Static and Dynamic Hedging 172
6.6 An Illustration Using Cross Currency Hedging 174
7 Speculation in the Spot and Currency Derivative Markets 183
7.1 Definition of Speculation 183
7.2 Spot Speculation 184
7.3 Spot Speculation Based on Special Events 191
7.4 Spot-Forward Speculation 193
7.5 Forward Speculation 194
7.6 Speculation With Currency Options 195
7.7 Combining Speculation With Arbitrage and Hedging 197
7.8 Hedging as a Speculative Activity 203
CONTENTS |vii|
7.9 Stabilising and Destabilising Speculation 204
7.10 Speculative Bubbles 206
8 Speculation: Generating Buy and Sell Signals 209
8.1 Speculation on the Basis of Expectation Formation 209
8.2 Speculation on the Basis of Technical Analysis 218
8.3 Speculation on the Basis of Trading Rules 226
8.4 Speculation on the Basis of Fundamentals 231
8.5 Heterogeneity of Speculators as a Source of Exchange
Rate Volatility 237
8.6 An Illustration 243
9 International Short-Term Financing and Investment 249
9.1 Why Foreign Currency Financing and Investment? 249
9.2 Sources of Financing and Investment Outlets 250
9.3 International Cash Management 253
9.4 The Effective Financing Rate and the Effective Rate of Return 258
9.5 Introducing the Bid-Offer Spreads 261
9.6 Implications of CIP and UIP 263
9.7 The Probability Distribution of the Effective Financing
Rate and the Effective Rate of Return 265
9.8 Using Currency Portfolios for Short-Term Financing
and Investment 267
10 International Long-Term Financing, Capital Structure and the
Cost of Capital 271
10.1 International Bank Loan Financing 271
10.2 International Bond Financing 274
10.3 International Equity Financing 277
10.4 Other Sources of Financing 279
10.5 The Cost of Capital 280
10.6 Variations in the Cost of Capital and Capital Structure 283
10.7 Debt and Equity Exposure 287
// International Long-Term Portfolio Investment 294
11.1 Overview 294
11.2 Investment in Bonds 295
11.3 Investment in Equities 299
11.4 International Equity Returns and Diversification 303
11.5 International Capital Asset Pricing Model 308
11.6 Managing Foreign Exchange Risk in International Portfolios 312
12 Foreign Direct Investment 318
12.1 Definition and Classification 318
%fii $ CONTENTS
12.2 Explaining Foreign Direct Investment 321
12.3 International Capital Budgeting 328
12.4 Project Evaluation Criteria 331
12.5 Adjusting Project Assessment for Risk 336
References 341
Index 357
List of Figures
1.1 The effect of two-currency arbitrage.
1.2 The no-arbitrage line (two-currency arbitrage).
1.3 The effect of two-currency arbitrage in the presence of brokerage fees.
1.4 The no-arbitrage line in the presence of brokerage fees.
1.5 The no-arbitrage zone in the presence of progressive brokerage fees.
1.6 The effect of two-currency arbitrage in the presence of partial capital
controls.
1.7 The effect of two-currency arbitrage in the presence of bid-offer spread.
1.8 The no-arbitrage condition in the presence of bid-offer spread.
1.9 The effect of three-currency arbitrage.
2.1 The no-arbitrage condition implied by CIP.
2.2 The effect of covered arbitrage.
2.3 The no-arbitrage line in the/- (ix - iy) space.
2.4 The covered margin (percentage points).
2.5 Covered arbitrage in the presence of transaction costs.
2.6 Covered arbitrage in the presence of political risk.
2.7 Covered arbitrage in the presence of tax differentials.
2.8 Covered arbitrage in the presence of transaction costs, political risk
and tax differentials.
2.9 The effect of covered arbitrage in the presence of inelastic supply and
demand and similar factors.
2.10 The effect of covered arbitrage in the presence of inelastic supply and
demand and similar factors (the CIP diagram).
2.11 The uncovered margin (percentage points).
3.1 The effect of commodity arbitrage.
3.2 The purchasing power parity relationship.
3.3 Actual and PPP exchange rates.
3.4 Exchange rate determination under the gold standard.
3.5 Determination of domestic and Eurocurrency interest rates.
3.6 Uncovered arbitrage when the base currency is pegged to a basket.
«ix#
I x| LIST OF FIGURES
4.1 The probability (frequency) distribution of the percentage change in
the exchange rate.
4.2 Value at risk.
4.3 Exposure when Vy is independent of the exchange rate.
4.4 Exposure when Vy is Inversely proportional to the exchange rate.
4.5 Exposure when Vy is negatively and linearly related to the exchange
rate.
4.6 Exposure when Vy is positively and linearly related to the exchange
rate.
4.7 Long exposure line (assets).
4.8 Short exposure line (liabilities).
4.9 The effect of exchange rate changes on base currency operating cash
flows.
4.10 Possible operating cash flow exposures.
4.11 The effect of a decline in the exchange rate on the revenue of an
exporter when the price is set in terms of y.
4.12 The effect of a decline in the exchange rate on the revenue of an
exporter when the price is set in terms of x.
4.13 The effect of a decline in the exchange rate on the revenue of an
exporter when the decline is offset partially.
4.14 The effect of a decline in the exchange rate under elastic and inelastic
demand.
4.15 Competitive exposure when the exchange rate declines.
5.1 Hedging a long exposure.
5.2 Hedging a short exposure.
5.3 Profit/loss on the unhedged position and the hedging instrument (a
perfect hedge).
5.4 A less than perfect hedge.
5.5 Forward hedging of payables and receivables.
5.6 Options hedging of payables and receivables.
5.7 Hedging a contingent exposure with forward contracts and options.
5.8 Hedging a contingent exposure with a forward contract.
5.9 Hedging a contingent exposure with an option (same exercise
exchange rate).
5.10 Hedging a contingent exposure with an option (different exercise
exchange rate).
5.11 Hedging against exchange rate volatility by using a long straddle.
5.12 Increasing the foreign currency price to counterbalance foreign
currency depreciation.
5.13 A diagrammatic illustration of foreign exchange risk sharing.
5.14 Hedging receivables by using a currency collar.
5.15 Creating a currency collar by using an option cylinder.
LIST OF FIGURES f xi|
6.1 The hedge ratio as a function of the correlation coefficient (all data).
6.2 The hedge ratio as a function of the correlation coefficient (USD is the
base currency).
6.3 The hedge ratio as a function of the correlation coefficient (SEK is the
base currency).
6.4 The variance ratio as a function of the correlation coefficient (all data).
6.5 Variance reduction as a function of the correlation coefficient (all
data).
6.6 The variance ratio as a function of the hedge ratio (all data).
6.7 Variance reduction as a function of the hedge ratio (all data).
6.8 The effectiveness of forward hedging.
6.9 The effectiveness of cross currency hedging.
7.1 A diagrammatic representation of speculative profit (0 1).
7.2 A diagrammatic representation of speculative profit (0 1).
7.3 A diagrammatic representation of speculative profit (6 X 1).
7.4 A diagrammatic representation of speculative profit under five
scenarios.
7.5 Determination of the forward rate by arbitrage and speculation.
7.6 Determination of the forward rate by arbitrage, spot speculation and
forward speculation.
7.7 The effect of stabilising and destabilising speculation on exchange rate
volatility.
7.8 The US dollar s effective exchange rate.
8.1 Extrapolative and regressive expectations.
8.2 Systematic expectation errors.
8.3 Buy signals (technical analysis).
8.4 Sell signals (technical analysis).
8.5 Generating buy/sell signals from oscillators and the RSI.
8.6 Generating buy/sell signals from filter rules.
8.7 Generating buy/sell signals from a moving average rule.
8.8 Generating buy/sell signals from a fundamental rule.
8.9 Generating buy/sell signals from a fundamental rule (deviation from
equilibrium).
8.10 Generating buy/sell signals from fundamentals (discretion).
8.11 Shifts in the excess demand function and the time path of the
exchange rate.
8.12 The generation of buy/sell signals.
8.13 Shifts in the excess demand functions of traders with different
strategies.
8.14 No volatility without heterogeneity.
8.15 The moving average rule.
8.16 Identifying peaks and troughs for a filter rule.
||xi# LIST OF FIGURES
8.17 Trading according to a fundamental rule.
8.18 Variables determining the buy/sell signals under fundamental
discretion.
9.1 Three month interest rates on major currencies.
9.2 Bilateral netting.
9.3 Multilateral netting.
9.4 The number of payments as a function of the number of companies.
9.5 The relationship between the effective financing rate and the nominal
interest rate.
9.6 The standard deviation of the effective financing rate of a currency
portfolio as a function of the correlation coefficient.
10.1 Cash flows and exposures when base currency interest payments do
not change with the exchange rate.
10.2 Cash flows and exposures when base currency interest payments
change with the exchange rate.
10.3 Cash flows and exposures when foreign currency interest payments
change with the exchange rate.
10.4 Equity exposure as a function of the debt ratio for a zero debt
exposure.
10.5 Equity exposure as a function of the debt ratio for a unit debt
exposure.
11.1 The effect of international diversification and currency hedging.
12.1 Cash flows received by a parent firm and its subsidiary.
12.2 Net present value, the discount rate and other factors.
List of Tables
1.1 Exchange rates on 16 December 2001.
1.2 Examples of ^-currency arbitrage.
2.1 The effect of transaction costs.
2.2 The effect of political risk.
2.3 The effect of tax differentials.
2.4 The combined effect of transaction costs, political risk and tax differen¬
tials (0 1).
3.1 Correlations of the US dollar exchange rates.
3.2 Interest rate differentials (end of 2000).
3.3 Some examples of uncovered arbitrage operations.
4.1 Basic statistics of quarterly percentage changes (1990-2000).
4.2 Value at risk on a USDl,000,000 position.
4.3 VAR of major banks.
4.4 Questions revealing the extent of operating exposure.
4.5 The effect of changes in exchange rates on importers and exporters.
5.1 Objectives of hedging strategies.
5.2 Outcomes under the hedge and no-hedge decisions.
5.3 The hedge/no-hedge decision (money market).
5.4 The hedge/no-hedge decision in the presence of bid-offer spreads.
5.5 The effect of bid-offer spreads on the hedging process.
5.6 General conditions and the hedge/no-hedge decision.
5.7 The options hedge/no-hedge decision.
5.8 Payments involved in a currency swap.
5.9 Correlations of percentage changes in exchange rates against the USD
and SEK.
5.10 The value of base currency receivables under a currency collar.
6.1 Cross currency hedge ratios: 1 (USD is the base currency).
#ci# LIST OF TABLES
6.2 Cross currency hedge ratios: 2 (USD is the base currency).
6.3 Cross currency hedge ratios: 3 (SEK is the base currency).
6.4 Cross currency hedge ratios: 4 (SEK is the base currency).
6.5 Variances of the rates of return on unhedged and hedged positions.
8.1 Two alternative scenarios for reacting to announcements.
8.2 Shifts in the excess demand functions according to buy and sell
signals.
8.3 Buy/sell signals generated from four different trading strategies.
9.1 Multilateral payments involving four companies.
9.2 Implications of CIP for short-term financing and investment.
9.3 UIP as a criterion for foreign currency financing and investment.
9.4 Possible values for the effective financing rate of a two-currency
portfolio.
11.1 Correlation matrix of rates of return on equity investment (1988-2001).
11.2 Decomposition of the variances of base currency rates of return on
foreign equity investment.
|
| adam_txt |
Contents
List of Figures ix
List of Tables xiii
Currency Symbols xv
List of Abbreviations xvi
Notation and Conventions xviii
Preface xx
1 Two-Currency, Three-Currency and Multi-Currency Arbitrage 1
1.1 Definition of Arbitrage 1
1.2 Two-Currency Arbitrage 2
1.3 Three-Currency Arbitrage 12
1.4 Multi-Currency Arbitrage 15
1.5 Examples 17
2 Covered and Uncovered Interest Arbitrage 19
2.1 Covered Interest Arbitrage Without Distortions 19
2.2 The No-Arbitrage Condition With Bid-Offer Spreads 24
2.3 Deviations From the CIP No-Arbitrage Condition 26
2.4 Combining Covered Arbitrage With Three-Currency Arbitrage 36
2.5 Uncovered Interest Arbitrage 39
3 Other Kinds of Arbitrage and Some Extensions 44
3.1 Commodity Arbitrage 44
3.2 Arbitrage Under the Gold Standard 47
3.3 Arbitrage Between Eurocurrency and Domestic Interest Rates 49
3.4 Eurocurrency-Eurobond Arbitrage 51
3.5 Arbitrage Between Currency Futures and Forward Contracts 52
3.6 Real Interest Arbitrage 53
3.7 Uncovered Arbitrage When the Cross Rates Are Stable 54
3.8 Uncovered Interest Arbitrage When the Base Currency Is
Pegged to a Basket 57
3.9 Misconceptions About Arbitrage 60
4 vi
§vij| CONTENTS
4 Hedging Exposure to Foreign Exchange Risk: The Basic Concepts 65
4.1 Definition and Measurement of Foreign Exchange Risk 65
4.2 Value at Risk 69
4.3 Definition and Measurement of Exposure to Foreign
Exchange Risk 73
4.4 Transaction Exposure 82
4.5 Economic and Operating Exposure 84
4.6 A Formal Treatment of Operating Exposure 93
4.7 Translation Exposure 100
5 Financial and Operational Hedging of Exposure to Foreign
Exchange Risk 105
5.1 Why Do Firms Hedge Exposure to Foreign Exchange Risk? 105
5.2 To Hedge or Not to Hedge? 106
5.3 The Design of a Hedging Strategy 110
5.4 The Basic Principles of Hedging 110
5.5 Money Market Hedging of Short-Term Transaction Exposure 118
5.6 Forward and Futures Hedging of Short-Term
Transaction Exposure 124
5.7 Options Hedging of Short-Term Transaction Exposure 128
5.8 Financial Hedging of Long-Term Transaction Exposure 137
5.9 Other Financial and Operational Techniques of
Hedging Transaction Exposure 138
5.10 Hedging Operating Exposure 147
5.11 Hedging Translation Exposure 149
5.12 What Do Firms Do in Practice? 150
6 Measuring the Hedge Ratio 156
6.1 The Concept of the Hedge Ratio 156
6.2 Measuring the Optimal Hedge Ratio 158
6.3 Empirical Models of the Hedge Ratio 160
6.4 Evaluating the Effectiveness of Hedging 167
6.5 Static and Dynamic Hedging 172
6.6 An Illustration Using Cross Currency Hedging 174
7 Speculation in the Spot and Currency Derivative Markets 183
7.1 Definition of Speculation 183
7.2 Spot Speculation 184
7.3 Spot Speculation Based on Special Events 191
7.4 Spot-Forward Speculation 193
7.5 Forward Speculation 194
7.6 Speculation With Currency Options 195
7.7 Combining Speculation With Arbitrage and Hedging 197
7.8 Hedging as a Speculative Activity 203
CONTENTS |vii|
7.9 Stabilising and Destabilising Speculation 204
7.10 Speculative Bubbles 206
8 Speculation: Generating Buy and Sell Signals 209
8.1 Speculation on the Basis of Expectation Formation 209
8.2 Speculation on the Basis of Technical Analysis 218
8.3 Speculation on the Basis of Trading Rules 226
8.4 Speculation on the Basis of Fundamentals 231
8.5 Heterogeneity of Speculators as a Source of Exchange
Rate Volatility 237
8.6 An Illustration 243
9 International Short-Term Financing and Investment 249
9.1 Why Foreign Currency Financing and Investment? 249
9.2 Sources of Financing and Investment Outlets 250
9.3 International Cash Management 253
9.4 The Effective Financing Rate and the Effective Rate of Return 258
9.5 Introducing the Bid-Offer Spreads 261
9.6 Implications of CIP and UIP 263
9.7 The Probability Distribution of the Effective Financing
Rate and the Effective Rate of Return 265
9.8 Using Currency Portfolios for Short-Term Financing
and Investment 267
10 International Long-Term Financing, Capital Structure and the
Cost of Capital 271
10.1 International Bank Loan Financing 271
10.2 International Bond Financing 274
10.3 International Equity Financing 277
10.4 Other Sources of Financing 279
10.5 The Cost of Capital 280
10.6 Variations in the Cost of Capital and Capital Structure 283
10.7 Debt and Equity Exposure 287
// International Long-Term Portfolio Investment 294
11.1 Overview 294
11.2 Investment in Bonds 295
11.3 Investment in Equities 299
11.4 International Equity Returns and Diversification 303
11.5 International Capital Asset Pricing Model 308
11.6 Managing Foreign Exchange Risk in International Portfolios 312
12 Foreign Direct Investment 318
12.1 Definition and Classification 318
%fii\$ CONTENTS
12.2 Explaining Foreign Direct Investment 321
12.3 International Capital Budgeting 328
12.4 Project Evaluation Criteria 331
12.5 Adjusting Project Assessment for Risk 336
References 341
Index 357
List of Figures
1.1 The effect of two-currency arbitrage.
1.2 The no-arbitrage line (two-currency arbitrage).
1.3 The effect of two-currency arbitrage in the presence of brokerage fees.
1.4 The no-arbitrage line in the presence of brokerage fees.
1.5 The no-arbitrage zone in the presence of progressive brokerage fees.
1.6 The effect of two-currency arbitrage in the presence of partial capital
controls.
1.7 The effect of two-currency arbitrage in the presence of bid-offer spread.
1.8 The no-arbitrage condition in the presence of bid-offer spread.
1.9 The effect of three-currency arbitrage.
2.1 The no-arbitrage condition implied by CIP.
2.2 The effect of covered arbitrage.
2.3 The no-arbitrage line in the/- (ix - iy) space.
2.4 The covered margin (percentage points).
2.5 Covered arbitrage in the presence of transaction costs.
2.6 Covered arbitrage in the presence of political risk.
2.7 Covered arbitrage in the presence of tax differentials.
2.8 Covered arbitrage in the presence of transaction costs, political risk
and tax differentials.
2.9 The effect of covered arbitrage in the presence of inelastic supply and
demand and similar factors.
2.10 The effect of covered arbitrage in the presence of inelastic supply and
demand and similar factors (the CIP diagram).
2.11 The uncovered margin (percentage points).
3.1 The effect of commodity arbitrage.
3.2 The purchasing power parity relationship.
3.3 Actual and PPP exchange rates.
3.4 Exchange rate determination under the gold standard.
3.5 Determination of domestic and Eurocurrency interest rates.
3.6 Uncovered arbitrage when the base currency is pegged to a basket.
«ix#
I x| LIST OF FIGURES
4.1 The probability (frequency) distribution of the percentage change in
the exchange rate.
4.2 Value at risk.
4.3 Exposure when Vy is independent of the exchange rate.
4.4 Exposure when Vy is Inversely proportional to the exchange rate.
4.5 Exposure when Vy is negatively and linearly related to the exchange
rate.
4.6 Exposure when Vy is positively and linearly related to the exchange
rate.
4.7 Long exposure line (assets).
4.8 Short exposure line (liabilities).
4.9 The effect of exchange rate changes on base currency operating cash
flows.
4.10 Possible operating cash flow exposures.
4.11 The effect of a decline in the exchange rate on the revenue of an
exporter when the price is set in terms of y.
4.12 The effect of a decline in the exchange rate on the revenue of an
exporter when the price is set in terms of x.
4.13 The effect of a decline in the exchange rate on the revenue of an
exporter when the decline is offset partially.
4.14 The effect of a decline in the exchange rate under elastic and inelastic
demand.
4.15 Competitive exposure when the exchange rate declines.
5.1 Hedging a long exposure.
5.2 Hedging a short exposure.
5.3 Profit/loss on the unhedged position and the hedging instrument (a
perfect hedge).
5.4 A less than perfect hedge.
5.5 Forward hedging of payables and receivables.
5.6 Options hedging of payables and receivables.
5.7 Hedging a contingent exposure with forward contracts and options.
5.8 Hedging a contingent exposure with a forward contract.
5.9 Hedging a contingent exposure with an option (same exercise
exchange rate).
5.10 Hedging a contingent exposure with an option (different exercise
exchange rate).
5.11 Hedging against exchange rate volatility by using a long straddle.
5.12 Increasing the foreign currency price to counterbalance foreign
currency depreciation.
5.13 A diagrammatic illustration of foreign exchange risk sharing.
5.14 Hedging receivables by using a currency collar.
5.15 Creating a currency collar by using an option cylinder.
LIST OF FIGURES f xi|
6.1 The hedge ratio as a function of the correlation coefficient (all data).
6.2 The hedge ratio as a function of the correlation coefficient (USD is the
base currency).
6.3 The hedge ratio as a function of the correlation coefficient (SEK is the
base currency).
6.4 The variance ratio as a function of the correlation coefficient (all data).
6.5 Variance reduction as a function of the correlation coefficient (all
data).
6.6 The variance ratio as a function of the hedge ratio (all data).
6.7 Variance reduction as a function of the hedge ratio (all data).
6.8 The effectiveness of forward hedging.
6.9 The effectiveness of cross currency hedging.
7.1 A diagrammatic representation of speculative profit (0 1).
7.2 A diagrammatic representation of speculative profit (0 1).
7.3 A diagrammatic representation of speculative profit (6 X 1).
7.4 A diagrammatic representation of speculative profit under five
scenarios.
7.5 Determination of the forward rate by arbitrage and speculation.
7.6 Determination of the forward rate by arbitrage, spot speculation and
forward speculation.
7.7 The effect of stabilising and destabilising speculation on exchange rate
volatility.
7.8 The US dollar's effective exchange rate.
8.1 Extrapolative and regressive expectations.
8.2 Systematic expectation errors.
8.3 Buy signals (technical analysis).
8.4 Sell signals (technical analysis).
8.5 Generating buy/sell signals from oscillators and the RSI.
8.6 Generating buy/sell signals from filter rules.
8.7 Generating buy/sell signals from a moving average rule.
8.8 Generating buy/sell signals from a fundamental rule.
8.9 Generating buy/sell signals from a fundamental rule (deviation from
equilibrium).
8.10 Generating buy/sell signals from fundamentals (discretion).
8.11 Shifts in the excess demand function and the time path of the
exchange rate.
8.12 The generation of buy/sell signals.
8.13 Shifts in the excess demand functions of traders with different
strategies.
8.14 No volatility without heterogeneity.
8.15 The moving average rule.
8.16 Identifying peaks and troughs for a filter rule.
||xi# LIST OF FIGURES
8.17 Trading according to a fundamental rule.
8.18 Variables determining the buy/sell signals under fundamental
discretion.
9.1 Three month interest rates on major currencies.
9.2 Bilateral netting.
9.3 Multilateral netting.
9.4 The number of payments as a function of the number of companies.
9.5 The relationship between the effective financing rate and the nominal
interest rate.
9.6 The standard deviation of the effective financing rate of a currency
portfolio as a function of the correlation coefficient.
10.1 Cash flows and exposures when base currency interest payments do
not change with the exchange rate.
10.2 Cash flows and exposures when base currency interest payments
change with the exchange rate.
10.3 Cash flows and exposures when foreign currency interest payments
change with the exchange rate.
10.4 Equity exposure as a function of the debt ratio for a zero debt
exposure.
10.5 Equity exposure as a function of the debt ratio for a unit debt
exposure.
11.1 The effect of international diversification and currency hedging.
12.1 Cash flows received by a parent firm and its subsidiary.
12.2 Net present value, the discount rate and other factors.
List of Tables
1.1 Exchange rates on 16 December 2001.
1.2 Examples of ^-currency arbitrage.
2.1 The effect of transaction costs.
2.2 The effect of political risk.
2.3 The effect of tax differentials.
2.4 The combined effect of transaction costs, political risk and tax differen¬
tials (0 1).
3.1 Correlations of the US dollar exchange rates.
3.2 Interest rate differentials (end of 2000).
3.3 Some examples of uncovered arbitrage operations.
4.1 Basic statistics of quarterly percentage changes (1990-2000).
4.2 Value at risk on a USDl,000,000 position.
4.3 VAR of major banks.
4.4 Questions revealing the extent of operating exposure.
4.5 The effect of changes in exchange rates on importers and exporters.
5.1 Objectives of hedging strategies.
5.2 Outcomes under the hedge and no-hedge decisions.
5.3 The hedge/no-hedge decision (money market).
5.4 The hedge/no-hedge decision in the presence of bid-offer spreads.
5.5 The effect of bid-offer spreads on the hedging process.
5.6 General conditions and the hedge/no-hedge decision.
5.7 The options hedge/no-hedge decision.
5.8 Payments involved in a currency swap.
5.9 Correlations of percentage changes in exchange rates against the USD
and SEK.
5.10 The value of base currency receivables under a currency collar.
6.1 Cross currency hedge ratios: 1 (USD is the base currency).
#ci# LIST OF TABLES
6.2 Cross currency hedge ratios: 2 (USD is the base currency).
6.3 Cross currency hedge ratios: 3 (SEK is the base currency).
6.4 Cross currency hedge ratios: 4 (SEK is the base currency).
6.5 Variances of the rates of return on unhedged and hedged positions.
8.1 Two alternative scenarios for reacting to announcements.
8.2 Shifts in the excess demand functions according to buy and sell
signals.
8.3 Buy/sell signals generated from four different trading strategies.
9.1 Multilateral payments involving four companies.
9.2 Implications of CIP for short-term financing and investment.
9.3 UIP as a criterion for foreign currency financing and investment.
9.4 Possible values for the effective financing rate of a two-currency
portfolio.
11.1 Correlation matrix of rates of return on equity investment (1988-2001).
11.2 Decomposition of the variances of base currency rates of return on
foreign equity investment. |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Moosa, Imad A. 1952- |
| author_GND | (DE-588)115539948 |
| author_facet | Moosa, Imad A. 1952- |
| author_role | aut |
| author_sort | Moosa, Imad A. 1952- |
| author_variant | i a m ia iam |
| building | Verbundindex |
| bvnumber | BV023527593 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3M663 2003 |
| callnumber-search | HG6024.A3M663 2003 |
| callnumber-sort | HG 46024 A3 M663 42003 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 640 QK 810 |
| ctrlnum | (OCoLC)51722814 (DE-599)BVBBV023527593 |
| dewey-full | 332.64/521 332.64/5 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/5 21 332.64/5 |
| dewey-search | 332.64/5 21 332.64/5 |
| dewey-sort | 3332.64 15 221 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV023527593 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:34:17Z |
| indexdate | 2024-07-09T21:23:57Z |
| institution | BVB |
| isbn | 0333998596 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016847800 |
| oclc_num | 51722814 |
| open_access_boolean | |
| owner | DE-521 DE-1051 DE-11 |
| owner_facet | DE-521 DE-1051 DE-11 |
| physical | XXII, 362 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Palgrave Macmillan |
| record_format | marc |
| spelling | Moosa, Imad A. 1952- Verfasser (DE-588)115539948 aut International financial operations arbitrage, hedging, speculation, financing and investment Imad A. Moosa Basingstoke, Hampshire [u.a.] Palgrave Macmillan 2003 XXII, 362 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier "This book aims to provide an integrated treatment of international financial operations, taking into account some real world complexities such as bid/offer spreads, transaction costs, capital rationing and market imperfections."--BOOK JACKET. Arbitrage Hedging (Finance) Speculation Investments http://www.loc.gov/catdir/description/hol041/2003042933.html Publisher description http://www.loc.gov/catdir/toc/hol041/2003042933.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016847800&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Moosa, Imad A. 1952- International financial operations arbitrage, hedging, speculation, financing and investment Arbitrage Hedging (Finance) Speculation Investments |
| title | International financial operations arbitrage, hedging, speculation, financing and investment |
| title_auth | International financial operations arbitrage, hedging, speculation, financing and investment |
| title_exact_search | International financial operations arbitrage, hedging, speculation, financing and investment |
| title_exact_search_txtP | International financial operations arbitrage, hedging, speculation, financing and investment |
| title_full | International financial operations arbitrage, hedging, speculation, financing and investment Imad A. Moosa |
| title_fullStr | International financial operations arbitrage, hedging, speculation, financing and investment Imad A. Moosa |
| title_full_unstemmed | International financial operations arbitrage, hedging, speculation, financing and investment Imad A. Moosa |
| title_short | International financial operations |
| title_sort | international financial operations arbitrage hedging speculation financing and investment |
| title_sub | arbitrage, hedging, speculation, financing and investment |
| topic | Arbitrage Hedging (Finance) Speculation Investments |
| topic_facet | Arbitrage Hedging (Finance) Speculation Investments |
| url | http://www.loc.gov/catdir/description/hol041/2003042933.html http://www.loc.gov/catdir/toc/hol041/2003042933.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016847800&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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