出口和货币对冲战略【外文翻译】.doc

原文： Export and Strategic Currency Hedging In recent years, international firms have become increasingly aware of how their operations would be affected by currency risks beyond their control. Volatile exchange rates might destabilize firms’ strategies and economic performance. To reduce their exchange rate risk exposures, international firms actively utilize hedging instruments such as futures, options, and swaps. Indeed, much of the growth in financial derivatives markets comes from corporations. Most of the literature on risk aversion and exchange rate uncertainty deals with allocation and hedging decisions of a monopolistic or perfectly competitive firm. Two notable results have emanated from the literature. First, the ‘separation theorem’ states that the firm’s production decision is affected neither by the firm’s attitude towards risk nor by the incidence of the exchange rate uncertainty if the firm has access to a currency futures market. Second, the ‘full-hedging theorem’ states that the firm should eliminate all exchange rate risk by holding a full-hedge if the currency futures market is unbiased. It goes without saying that monopoly and perfect competition are exceptions rather than a norm in the real world. The purpose of this paper is therefore to re-examine the optimality of the separation and full-hedging theorems in a framework of imperfect competition. The paper brings together the oligopoly theory and the literature on decision making under uncertainty to work out the strategic effects of hedging on the equilibrium of an international cornet duopoly. To this end, we consider an exporting foreign firm that competes with a home firm in the home market. The exporter faces an uncertain spot exchange rate for its revenue at the time of its output decision. An unbiased currency futures market is available for the foreign firm to hedge its exchange rate risk exposure. If the hedging decision is made prior to the production decision, hedging is shown to hav