A exposición económica ao risco cambiariodelimitación conceptual e modelos para a súa estimación

  1. María Milagros Vivel Búa 1
  1. 1 Universidade de Santiago de Compostela
    info

    Universidade de Santiago de Compostela

    Santiago de Compostela, España

    ROR https://ror.org/030eybx10

Revista:
Revista galega de economía: Publicación Interdisciplinar da Facultade de Ciencias Económicas e Empresariais

ISSN: 1132-2799

Ano de publicación: 2012

Volume: 21

Número: 1

Páxinas: 165-172

Tipo: Artigo

Outras publicacións en: Revista galega de economía: Publicación Interdisciplinar da Facultade de Ciencias Económicas e Empresariais

Resumo

A internacionalización empresarial confírelle unha gran relevancia á xestión integral do risco, incluído o xerado polas flutuacións no prezo das divisas. A análise do risco cambiario debe partir da identificación do concepto de exposición cambiaria, xa que non existe unha definición única, senón diferente e máis ampla en función de cal sexa o seu alcance. Este é, precisamente, o primeiro obxectivo que se desenvolve na segunda sección. A continuación, centrándonos na exposición cambiaria de tipo económica, o segundo obxectivo foi expoñer as diferentes formulacións metodolóxicas que se definiron para a súa estimación. Centrámonos nesta exposición porque é aquela que ten unha maior relevancia para a empresa, dada a súa orientación no longo prazo e as diferentes formas de manifestación que pode adquirir no desenvolvemento doméstico e/ou internacional da actividade

Referencias bibliográficas

  • AABO, T.; BRODIN, D. (2009): "Can the CFO Trust the FX Exposure Quantification from a Stock Market Approach?", Multinational Finance Conference. Creta.
  • ADLER, M.; DUMAS, B. (1984): "Exposure to Currency Risk: Definition and Measurement", Financial Management, 2, pp. 41-50.
  • ALLAYANNIS, G. (1995): Exchange Rate Exposure Revisited. Washington, DC, WA: LV American Finance Association.
  • AMIHUD, Y. (1994): "Exchange Rates and the Valuation of Equity Shares", Exchange Rates and Corporate Performance, pp. 49-59. New York, NY: Irwin.
  • BARTOV, E.; BODNAR, G. M. (1994): "Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect", The Journal of Finance, 49(5), pp. 1755-1785.
  • BARTRAM, S. (2007): What Lies Beneath: Foreign Exchange Rate Exposure, Hedging and Cash Flows. (Working Paper). Lancaster: Lancaster University, <http://papers.ssrn. com/abstract=905087>.
  • BODNAR, G.; WONG, M. (2003): "Estimating Exchange Rate Exposures: Issues in Model Structure", Financial Management, 32, pp. 35-67. (Pubitemid 36404153)
  • BODNAR, M.; GENTRY, W. (1993): "Exchange Rate Exposure and Industry Characteristics: Evidence from Canada, Japan and U. S.", Journal of International Money and Finance, 12, pp. 29-45.
  • CHAMBERLAIN, S.; HOWE, J.; POPPER, H. (1997): "The Exchange Rate Exposure of U. S. and Japanese Banking Institutions", Journal of Banking and Finance, 21, pp. 871-892. (Pubitemid 127163956)
  • CHOI, J.; PRASAD, A. (1995): "Exchange Risk Sensitivity and Its Determinants: A Firm and Industry Analysis of U. S. Multinationals", Financial Management, 24(3), pp. 77-88.
  • DOMINGUEZ, K.; TESAR, L. (2001): "Trade and Exposure", American Economic Review Papers and Proceedings, 91, pp. 367-370. (Pubitemid 33595777)
  • DOMINGUEZ, K.; TESAR, L. (2006): "Exchange Rate Exposure", Journal of International Economics, 68, pp. 188-218. (Pubitemid 43033624)
  • DOUKAS, J.; HALL, P.; LANG, L. (2003): "Exchange Rate Exposure at the Firm and Industry Level", Financial Markets, Institutions & Instruments, 12, pp. 291-346. (Pubitemid 37528243)
  • FANG, H.; LOO, J. (1994): "Dollar Value and Stock Returns", International Review of Economics and Finance, 3(2), pp. 221-231.
  • FLOOD, E.; LESSARD, D. (1986): "On the Measurement of Operating Exposure to Exchanges Rates: A Conceptual Approach", Financial Management, 15(1), pp. 25-37.
  • FORNÉS, G.; CARDOZA, G. (2009): "Foreign Exchange Exposure in Emerging Markets: A Study of Spanish Companies in Latin America", International Journal of Emerging Markets, 4(1), pp. 6-25.
  • FORTUNA, J.; RODRÍGUEZ, J. (2002): "Exposición al riesgo de cambio en las empresas de la industria del automóvil: un analisis internacional", ", VIII Congreso sobre la Empresa en Castillo y León III. Valladolid.
  • FRASER, S.; PANTZALIS, C. (2004): "Foreign Exchange Rate Exposure of US Multinational Corporations: A Firm-Specific Approach", Journal of Multinational Financial Management, 14, pp. 261-281. (Pubitemid 38597365)
  • HE, J.; NG, L. (1998): "The Foreign Exchange Exposure of Japanese Multinational Corporations", The Journal of Finance, 53(2), pp. 733-753. (Pubitemid 128344224)
  • IHRIG, J. (2001): Exchange Rate Exposure of Multinationals: Focusing on Exchange Rates Issues. Board of Governors of the Federal Reserve System. (International Finance Discussion Papers, 709).
  • JIN, Y.; JORION, P. (2006): "Firm Value and Hedging: Evidence from U. S. Oil and Gas Producers", Journal of Finance, 61(2), pp. 893-919. (Pubitemid 43388194)
  • JONG, A.; LIGTERINK, J.; MACRAE, V. (2006): "A Firm-Specific Analysis of the Exchange Rate Exposure of Dutch Firs", Journal of International Financial Management and Accounting, 17, pp. 1-28. (Pubitemid 43733189)
  • JORION, P. (1990): "The Exchange Rate Exposure of U. S. Multinationals", Journal of Business, 13(11), pp. 375-386.
  • JORION, P. (1991): "The Princing of Exchange Rate Risk in the Stock Market", Journal of Financial and Quantitative Analysis, 26(3), pp. 363-376.
  • LESSARD, D.; LIGHSTONE, J. (1986): "Volatile Exchange Rates Can Put Operations at Risk", Harvard Business Review, 64(4), pp. 107-114.
  • LEVI, M. (1994): "Exchange Rates and Valuation of Firms", en Y. Amihud e R. Levich [ed.]: Exchange Rates and Corporate Performance. New York, NY: Irwin.
  • MAKAR, S.; HUFFMAN, S. (2008): "UK Multinational's Effective Use of Financial Currency-Hedge Techniques: Estimating and Explaining Foreign Exchange Exposure Using Bilateral Exchange Rates", ", Journal of International Financial Management and Accounting, 19, pp. 219-235.
  • MARTIN, A.; MAUER, L. (2003): "Exchange Rate Exposures of US Banks: A Cash Flow-Based Methodology", Journal of Banking and Finance, 27(1), pp. 851-865. (Pubitemid 36439436)
  • MARTINEZ, P. (1997): "La sensibilidad al riesgo de cambio en funcion de las caracteristicas sectoriales", Actualidad Financier a, 11(11), pp. 61-71.
  • MARTÍNEZ, P. (1999): "Metodologia para la medición de la expositión económica al riesgo de cambio: una revisión", Informatión Comercial Española. Revista de Economia, 780, pp. 63-79.
  • MARTÍNEZ, P.; BERGES, A. (2000): "El riesgo de cambio en la empresa española", Revista de Economía Aplicada, 8(24), pp. 81-104.
  • MARTÍNEZ, P.; GÓMEZ, J. (1996): "Expositión económica al riesgo de cambio de las empresas cotizadas", Revista Europea de Directión y Economia de la Empresa, 5(1), pp. 51-60.
  • MEESE, R. (1990): "Currency Fluctuations in the Post Bretton Woods Era", Journal of Economic Perspectives, 4, pp. 117-134.
  • MEESE, R.; ROGOFF, K. (1983): "Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?", Journal of International Economics, 14(2), pp. 3-24.
  • MLLLLER, A.; VERSCHOOR, W. (2006): "European Foreign Exchange Risk Exposure", European Financial Management, 12, pp. 195-220.
  • NYDAHL, S. (1999): "Exchange Rate Exposure, Foreign Involvement and Currency Hedging of Firms: Some Swedish Evidence", European Financial Management, 5, pp. 241-257.
  • PRIESTLEY, R.; ODEGAARD, A. (2004): "Exchange Rate Regimes and the Price of Exchange Rate Risk", Economic Letters, 82, pp. 181-188. (Pubitemid 38065201)
  • PRINGLE, J. J.; CONNOLLY, R. A. (1993): "The Nature and Causes of Foreign Currency Exposure", Journal of Applied Corporate Finance, 6(3), pp. 61-72.
  • SCHNABEL, J. (1989): "Exposure to Foreign Exchange Risk: A Multi-Currency Extension", Managerial & Decision Economics, 10(12), pp. 331-333.
  • SOLAKOGLU, M. (2005): "Exchange Rate Exposure and Firm-Specific Factors: Evidence from Turkey", Journal of Economic and Social Research, 7(2), pp. 35-46.
  • TAI, C. (2005): "Asymmetric Currency Exposure of US Bank Stock Returns", Journal of Multinational Finncial Management, 15(1), pp. 455-472. (Pubitemid 41226719)