Exposure analysis of RMB exchange rate in business

Junzo Watada, Song Wen

    研究成果: Conference contribution

    抄録

    The objective of the paper is to estimate the impact of asymmetric RMB exchange rate volatility on investment. Since the new policy of RMB exchange rate was executed in 2005, the exchange rate of RMB is more fluctuant than before and difficult to forecast. The methods of real options and binomial decision trees are introduced in the paper to test the nonlinearity of RMB/USD exchange rate. Monthly data of exchange rate between RMB and US dollar during past 6 years are analyzed as an example. Finally, a real options approach is used to evaluate the exchange rate influence under the hypothetical situation that most of the firms can change the currency composition after a certain adjustment period or with the adjustment costs. The result indicates that options theory can provide useful financial hedges for the economic exposure management by bringing out the adjustment costs.

    元の言語English
    ホスト出版物のタイトル3rd International Conference on Innovative Computing Information and Control, ICICIC'08
    DOI
    出版物ステータスPublished - 2008
    イベント3rd International Conference on Innovative Computing Information and Control, ICICIC'08 - Dalian, Liaoning
    継続期間: 2008 6 182008 6 20

    Other

    Other3rd International Conference on Innovative Computing Information and Control, ICICIC'08
    Dalian, Liaoning
    期間08/6/1808/6/20

    Fingerprint

    Decision trees
    Costs
    Industry
    Economics
    Chemical analysis

    ASJC Scopus subject areas

    • Computer Science Applications
    • Software
    • Control and Systems Engineering

    これを引用

    Watada, J., & Wen, S. (2008). Exposure analysis of RMB exchange rate in business. : 3rd International Conference on Innovative Computing Information and Control, ICICIC'08 [4603342] https://doi.org/10.1109/ICICIC.2008.268

    Exposure analysis of RMB exchange rate in business. / Watada, Junzo; Wen, Song.

    3rd International Conference on Innovative Computing Information and Control, ICICIC'08. 2008. 4603342.

    研究成果: Conference contribution

    Watada, J & Wen, S 2008, Exposure analysis of RMB exchange rate in business. : 3rd International Conference on Innovative Computing Information and Control, ICICIC'08., 4603342, 3rd International Conference on Innovative Computing Information and Control, ICICIC'08, Dalian, Liaoning, 08/6/18. https://doi.org/10.1109/ICICIC.2008.268
    Watada J, Wen S. Exposure analysis of RMB exchange rate in business. : 3rd International Conference on Innovative Computing Information and Control, ICICIC'08. 2008. 4603342 https://doi.org/10.1109/ICICIC.2008.268
    Watada, Junzo ; Wen, Song. / Exposure analysis of RMB exchange rate in business. 3rd International Conference on Innovative Computing Information and Control, ICICIC'08. 2008.
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