第9章 经济风险管理.ppt

Economic Exposure Exchange rate risk as applied to the firm’s competitive position. Any anticipated changes in the exchange rates would have been already discounted and reflected in the firm’s value. Economic exposure can be defined as the extent to which the value of the firm would be affected by unanticipated changes in exchange rates. Transaction Exposure Impact of settling outstanding obligations entered into before exchange rate changes but to be settled after changes in exchange rates. Exchange rate risk as applied to the firm’s home currency cash flows Defined as the sensitivity of “realized” domestic currency values of the firm’s contractual cash flows denominated in foreign currencies to unexpected exchange rate changes. Transaction exposure arises from fixed-price contracting in a world of constantly changing exchange rates. Translation Exposure Exchange rate risk as applied to the firm’s consolidated financial statements. Consolidation involves translation of subsidiaries’ financial statements from local currencies to home currency. Involves many controversial issues. How to Measure Economic Exposure Economic exposure is the sensitivity of the future home currency value of the firm’s assets and liabilities and the firm’s operating cash flow to random changes in exchange rates. There exist statistical measurements of sensitivity. Sensitivity of the future home currency values of the firm’s assets and liabilities to random changes in exchange rates. Sensitivity of the firm’s operating cash flows to random changes in exchange rates. Channels of Economic Exposure How to Measure Economic Exposure If a U.S. MNC were to run a regression on the dollar value (P) of its British assets on the dollar pound exchange rate, S($/￡), the regression would be of the form: P = a + b×S + e How to Measure Economic Exposure The exposure coefficient, b, is defined as follows: How to Measure Economic Exposure The exposure coefficient shows that there are two sources of e