This paper empirically tests the determinants of foreign currency hedging using a large sample of UK non-financial firms. I find, unlike similar studies using US data, strong evidence of a relationship between expected financial distress costs and the foreign currency hedging decision and more significantly the foreign currency only hedging decision. This contrast in the findings between this s...

This study investigates the foreign exchange exposure management of some Swedish and UK firms’ foreign exchange exposure management at three occasions, 1985, 1996, and in 2008. We find that foreign exchange exposure management has become a more centralised activity. This centralisation is driven by the introduction of new administrative systems, the introduction of new legislation (IFRS), earli...

The Lévy Libor or market model which was introduced in Eberlein and Özkan (2005) is extended to a multi-currency setting. As an application we derive closed form pricing formulas for cross-currency derivatives. Foreign caps and floors and cross-currency swaps are studied in detail. Numerically efficient pricing algorithms based on bilateral Laplace transforms are derived. A calibration example ...

In this paper we estimate a time-series model of the financial asset portfolio shares in Egypt, distinguishing between assets of varying degrees of liquidity and between domestic currency and foreign currency deposits. While financial liberalization and financial stability are found to have encouraged domestic residents to increase the share of their portfolio composed of domestic currency asse...

this paper surveys the persian monetary crises due to economic sanctions and speculative attacks that leads to high inflation. economic sanctions are associated with various forms of trade barriers and restriction on financial transactions. among the most influential sanctions on iran's oil export and central bank sanctions are noted that their aims to reduce iran's oil revenues and devaluation...

There are two leading views on how financial crises turn into recessions. The first view highlights the importance of a troubled banking sector that cannot provide credit to domestic firms. The second view stresses the relevance of short-term borrowing in foreign currency and the associated decline in net worth through a weak balance sheet. Both views underline the role of financial constraints...

Why do firms and banks hold foreign currency denominated liabilities? In this paper, we argue that foreign currency debt, by altering the effect of a devaluation on output, has a disciplining effect when the Central Bank’s objectives differ from the social optimum. However, under imperfect information, bad priors about the Central Bank induce excess dollarization of liabilities, which in turn l...

This study investigates the effects of  macroeconomic variables and their role in development of foreign exchange market. The foreign exchange market is the mechanism by which a person of firm transfers purchasing power form one country to another, obtains or provides credit for international trade transactions, and minimizes exposure to foreign exchange risk. The foreign exchange transaction i...

This study investigates the effects of  macroeconomic variables and their role in development of foreign exchange market. The foreign exchange market is the mechanism by which a person of firm transfers purchasing power form one country to another, obtains or provides credit for international trade transactions, and minimizes exposure to foreign exchange risk. The foreign exchange transaction i...

This study investigates the effects of  macroeconomic variables and their role in development of foreign exchange market. The foreign exchange market is the mechanism by which a person of firm transfers purchasing power form one country to another, obtains or provides credit for international trade transactions, and minimizes exposure to foreign exchange risk. The foreign exchange transaction i...