مواجهه با نرخ ارز موسسات مالی کلیدی در بازار ارز خارجی
|کد مقاله||سال انتشار||تعداد صفحات مقاله انگلیسی||ترجمه فارسی|
|8908||2000||20 صفحه PDF||سفارش دهید|
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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : International Review of Economics & Finance, Volume 9, Issue 3, July 2000, Pages 267–286
Exchange rate exposure is assessed for key individual financial institutions, country-specific portfolios, and global portfolios. The results show that the majority of the key individual institutions are significantly exposed. U.K., Swiss, and Japanese portfolios are found to be significantly exposed, whereas U.S. portfolios are not exposed. There is also some evidence that exchange rate exposure does not exist on a global level. To the extent that the vast majority of currency trading is conducted among the financial institutions included in the portfolio, exposure is expected to be insignificant as gains accrued by one institution would be offset by losses incurred by another institution.
Past studies on the exchange rate exposure of financial institutions have focused primarily on U.S. banks (e.g., Choi, Elyasiani, & Kopecky 1992, Wetmore and Brick 1994, Chamberlain, Howe, & Popper 1997 and Choi and Elyasiani 1997). Even though U.S. banks dominate the foreign exchange (FX) interbank market, non-U.S. banks are also heavily involved in the FX market. A 1996 survey by Euromoney identifies 30 financial institutions from around the world that constitute 75% of the FX market. Table 1 displays their estimated 1996 market shares and countries of origin. This list reveals that eight U.S. institutions control 30% of the FX market and twenty-two non-U.S. institutions control 45% of the FX market. Institutions from the U.K., Switzerland, Hong-Kong, France, Germany, Canada, and Japan control 12, 8, 6.5, 4, 3.5, 3, and 2%, respectively. Interestingly, the largest banks in the world do not necessarily dominate the FX market. Using a 1996 ranking by Institutional Investor, 4 of the 10 largest banks in the world are not considered to be key FX participants.There is evidence that U.S. banks are exposed to exchange rate risk. Choi, Elyasiani, and Kopecky (1992) find approximately 20% of U.S. banks are significantly exposed over the 1975–1987 time period. Wetmore and Brick (1994) find some U.S. bank portfolios are significantly exposed to exchange rate risk over the 1986–1991 time period. Chamberlain, Howe, and Popper (1997) report that approximately 30% of U.S. banks and 10% of Japanese banks are significantly exposed over the 1986–1993 time period. Choi and Elyasiani (1997) find 80% of the largest U.S. banks are significantly exposed over the 1975–1992 time period. The present research contributes to the literature in the following ways. First, exchange rate exposure is assessed for the key financial institutions that comprise the interbank FX market. Differences in exchange rate exposure across the institutions in this study may be attributed to differing degrees of risk aversion and levels of proficiency in managing the exposure. The market should recognize significant exposure for those institutions that are less risk averse and/or less proficient in managing their foreign exchange exposure.1 Second, differences in exposure across countries are analyzed. Eleven different countries are represented by the institutions in the sample. Differences in exposure across countries may be attributed to differing regulatory and supervisory requirements (e.g., Chamberlain, Howe, and Popper, 1997). Even though the Basle Accord of 1988 initiated uniform minimum capital standards for internationally active banks, it provides only guidelines. In reality, it is unlikely that consistent practices are followed (Barth, Nolle, & Rice, 1997). Lastly, this study assesses whether exchange rate exposure exists at a global level. A portfolio comprised of the key financial institutions involved in the FX market may be viewed as a system in which all FX trading is conducted. Gains by one institution would be offset by losses of another. A simplified example may help clarify this point. Assume there are two institutions (Trader A and Trader B) whose only business is trading foreign exchange with each other. The variance of a portfolio that contains these two companies would be: σ2p = σ2AW2A + σ2BW2B + 2σAσBρAB. Since a trade would consist of one trader winning and the other trader losing, ρAB = −1. Furthermore, there exists a portfolio with proportions WA and WB that minimizes the variance, where the portfolio variance is zero. Therefore, it can be argued that there is no foreign exchange exposure from a global portfolio perspective.
نتیجه گیری انگلیسی
This study finds over 40% of the key financial institutions in the FX market to be significantly exposed to changes in the value of their domestic currency. Approximately 60% of the key institutions and 75% of the key non-U.S. institutions are found to be significantly exposed to changes in the value of the U.S. dollar. To the extent that the key FX institutions are equally capable of managing exchange rate risk, differences in exposure across institutions may be attributed to differences in the desire to accept more risk for higher expected returns. Exposure estimates for country-specific portfolios reveal that U.S. portfolios are consistently found to be insignificant, whereas U.K., Swiss, and Japanese portfolios are found to be significantly exposed. These results may be attributed to more restrictive regulatory and supervisory requirements placed on U.S. financial institutions (e.g., Barth, Nolle, and Rice, 1997). It is also plausible that U.S. institutions are relatively more risk averse, given the threat of global/regional financial systems crises, and especially in light of past experiences with crises in the U.S. financial system. Since the market share-weighted portfolios are found to be exposed to exchange rate risk, it does not appear that the key FX institutions represent a closed system. Considering these institutions are not involved in every trade, it can be argued that a substantial amount of trading is conducted outside the system. However, the exposure of a more comprehensive global index to multilateral or bilateral exchange rates is not found to be statistically significant. This finding lends some support to the premise that exchange rate exposure does not exist from a global portfolio perspective.Euromoney. 1996, Federal Reserve Bank of New York 1996 and Institutional Investor. 1996