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Monday, July 6, 2020 | History

3 edition of Does the currency regime shape unhedged currency exposure? found in the catalog.

Does the currency regime shape unhedged currency exposure?

Ila Patnaik

Does the currency regime shape unhedged currency exposure?

by Ila Patnaik

  • 310 Want to read
  • 23 Currently reading

Published by National Institute of Public Finance and Policy in New Delhi .
Written in English

    Subjects:
  • Foreign exchange -- India -- Accounting,
  • Foreign exchange rates -- India

  • Edition Notes

    Includes bibliographical references (p. 25-27).

    StatementIla Patnaik and Ajay Shah.
    SeriesWorking paper -- no. 50, 2008
    ContributionsShah, Ajay., National Institute of Public Finance and Policy (India)
    Classifications
    LC ClassificationsHG3971 (H1)+
    The Physical Object
    Pagination27 p. ;
    Number of Pages27
    ID Numbers
    Open LibraryOL23193796M
    LC Control Number2009341360

    Downloadable! Since , India’s currency regime is said to be a managed float, a “market determined exchange rate†in the sense that there is a currency market and the exchange rate is not visibly administratively determined. Many countries that claim to float have a fear of floating. This suggests an investigation into the Indian rupee [NIPFP WP No. 49]. 3 Investors have often directed their foreign equity investments into hedged or unhedged products based on the recent strength or weakness of the foreign currency. For example, during a period of yen strength, for the 12 months ended April , % of U.S. net cash flows into Japanese-equity ETFs went into hedged vehicles, but only four years.

    Patnaik, Ila. Overview. Works: Hence, there is a need to measure and monitor the interest rate exposure of Indian banks. Using publicly available information, this paper attempts to assess the interest rate risk carried by a sample of Indian banks in March Does the currency regime shape unhedged currency exposure? by Ila Patnaik. This "Cited by" count includes citations to the following articles in Scholar. The ones marked * may be different from the article in the profile. Add co-authors Co-authors. Does the currency regime shape unhedged currency exposure? I Patnaik, A Shah. Journal of International Money and Finance 29 (5), ,

    Currency-hedged funds prove poor value for investors. has underperformed the unhedged version by more than 20 per cent. experts say a better rule is to “have your currency exposure where. Overlay calculates that the volatility of an unhedged bond portfolio is typically per cent a year, with three-quarters of this emanating from currency exposure rather than movements in.


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Does the currency regime shape unhedged currency exposure? by Ila Patnaik Download PDF EPUB FB2

But if the incomplete market hypothesis is true, we would find that whether currency volatility is high or low, the unhedged currency exposure of firms is unchanged. If the moral hazard hypothesis is true, and firms carry currency risk in response to the flexibility of the currency, we will find that periods of low volatility have high unhedged currency risk, and vice by: Does the currency regime shape unhedged currency exposure.

Ila Patnaik Ajay Shah Ap Abstract This paper examines how unhedged currency exposure of rms varies with changes in currency exibility.

A sequence of four time-periods with alternating high and low currency. @ARTICLE{Patnaik10doesthe, author = {Ila Patnaik and Ajay Shah and Ila Patnaik and Ajay Shah}, title = {Does the Currency Regime Shape Un-hedged Currency Exposure}, journal = {Journal of International Money and Finance}, year = {}}.

Currency Exposure. VaR for currency positions. Hedged and unhedged positions Currency Exposure Currency exposure represents the relationship between stated financial goals and exchange rate movements, instruments and currency selection and portfolio structure. Currency Risk Measures Statistical MeasuresFile Size: KB.

Patnaik, Ila & Shah, Ajay, "Does the currency regime shape unhedged currency exposure," Working Papers 08/50, National Institute of Public Finance and Policy. Ajay Shah & Ila Patnaik, "Does the Currency Regime Shape Unhedged Currency Exposure.

•Achim Zeileis, Ajay Shah, and Ila Patnaik ().“Testing, Monitoring, and Dating Structural Changes in Exchange Rate Regimes”. Computational Statistics and Data Analysis 54(6), – •Ila Patnaik and Ajay Shah ().“Does the currency regime shape unhedged currency expo-sure?” Journal of International Money and Finance 29 File Size: 85KB.

Monitoring of Unhedged Foreign Currency Exposure. Unhedged forex exposure of corporates is a source of risk to them as well as to the financing banks and the financial system. Large unhedged forex exposures have resulted in accounts becoming NPAs in some cases.

The exchange rate regime in Asia: From crisis to crisis: International Review of Economics and Finance, Who cares about the Chinese Yuan. Working paper, National Institute of Public Finance and Policy, Does the currency regime shape unhedged currency exposure.

Journal of International Money and Finance,   Unhedged Foreign Currency Exposure. Unhedged foreign currency exposures of corporates are a cause for concern as they pose a risk to individual corporates as also to the entire financial system.

Based on feedback received from industry participants, it is proposed to. This is an example of unhedged foreign currency exposure. Your earnings are at the mercy of the currency of the foreign country you’re working in.

Hedging in this case is the act of protecting against any such downside, but at the cost of losing out on the potential upside. Does the Currency Regime Shape Unhedged Currency Exposure. Article in Journal of International Money and Finance 29(5) - September with 67 Reads How we measure 'reads'.

Currency exposure can be quantified as the total amount of capital involved in all transactions divided by the total amount of capital involved in currency exchange transactions.

The larger the resulting volume, the greater the currency exposure and the greater the need to implement a robust currency exposure management strategy. Keywords, currency regime, currency exposure of firms, moral hazard, one-way bets on exchange rates. Exchange rate regime Currency exposure of firms Moral hazard abstract This paper examines how unhedged currency exposure of firms varies with changes in currency flexibility.

A sequence of four time periods with alternating high and low currency volatility in India provides a natural experiment in which changes in currency exposure of a panel of firms is measured, and the moral hazardFile Size: KB. This paper examines how unhedged currency exposure of firms varies with changes in currency exibility.

A sequence of four time-periods with alternating high and low currency volatility in India provides a natural experiment in which changes in currency exposure of a panel of firms is measured, and the moral hazard versus incomplete markets hypotheses : Ajay Shah and Ila Patnaik.

the currency regime shape unhedged currency exposure Topics: JEL Codes, F31, G Unhedged foreign currency exposure of Corporates:RBI Unhedged forex exposure of corporates is a source of risk to them as well as to the financing banks and the financial system.

This paper examines how unhedged currency exposure of firms varies with changes in currency flexibility. A sequence of four time periods with alternating high and low currency volatility in India provides a natural experiment in which changes in currency exposure of a panel of firms is measured, and the moral hazard versus incomplete markets hypotheses : Ila Patnaik and Ajay Shah.

Our results support the moral hazard hypothesis: that low currency flexibility encourages firms to hold unhedged exposure in response to implicit government guarantees. This paper examines how unhedged currency exposure of firms varies with changes in currency flexibility.

Abstract. This paper examines how unhedged currency exposure of firms varies with changes in currency flexibility. A sequence of four time- periods with alternating high and low currency volatility in India provides a natural experiment in which changes in currency exposure of a panel of firms is measured, and the moral hazard versus incomplete markets hypotheses : Ila Patnaik and Ajay Shah.

The currency exposure of an asset, such as stocks, is the sensitivity of that asset's return measured in the investor's domestic currency to fluctuations in exchange rates.

key takeawaysAuthor: Caroline Banton. Currency hedging, in the context of bond funds, is the decision by a portfolio manager to reduce or eliminate a bond fund’s exposure to the movement of foreign is typically achieved by buying futures contracts or options that will move in the opposite direction of the currencies held inside of the fund.The exchange rate regime in Asia: From crisis to crisis International Review of Economics & Finance,20, (1), View citations (30) See also Working Paper () Does the currency regime shape unhedged currency exposure?

Journal of International Money and Finance,29, (5), View citations (13) See also Working Paper.