Efficiency of forward as an instrument for exchange risk coverage in companies performing foreign trade operations, 2011-2017
This paper evaluates the efficiency of forward contracts derived from the exchange rate of American dollars / Colombian pesos (USD / COP), as a hedging instrument for foreign exchange risk, to which companies that carry out foreign exchange operations are exposed. For this, the USD / COP spot and fo...
| Autores: | , |
|---|---|
| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2019 |
| País: | Colombia |
| Institución: | Universidad de Medellín |
| Repositorio: | Repositorio UDEM |
| Idioma: | español |
| OAI Identifier: | oai:repository.udem.edu.co:11407/5595 |
| Acceso en línea: | http://hdl.handle.net/11407/5595 https://doi.org/10.22395/seec.v22n51a3 |
| Access Level: | acceso abierto |
| Palabra clave: | International trade Forwards Financial risk Exchange rate risk Foreign exchange risk Comércio internacional Risco financeiro Risco de taxa de câmbio Risco cambial Comercio internacional Riesgo financiero Riesgo de tasa de cambio Riesgo cambiario |
| Sumario: | This paper evaluates the efficiency of forward contracts derived from the exchange rate of American dollars / Colombian pesos (USD / COP), as a hedging instrument for foreign exchange risk, to which companies that carry out foreign exchange operations are exposed. For this, the USD / COP spot and forward prices between 2011 and 2017, available in the Colombian Stock Exchange, were analyzed, valuing their risk through the VaR (value at risk) and their impacts as a hedging instrument of risk of exchange rate. In addition to the empirical validation of the forward as a hedging instrument, some inefficiencies of this financial instrument were found, due to its low availability and the high transaction costs in the use of this derivative as a hedging instrument. |
|---|