Foreign exchange exposure-based strategy building for non-financial corporations

Wen Song, Min Hsiu Tsai, Junzo Watada

    研究成果: Conference contribution

    抄録

    In the presence of deviations from parity conditions, the influence of foreign exchange rate variability beyond the range of financial companies only, and now represents to be an important source of risk for nonfinancial corporations. This research takes Japan as an example and examines how foreign currency movements affect Japanese manufacturing companies. From firm and industry perspectives, we find 16% of 65 sample companies and three out of six sub sectors of manufacturing industry experienced an economically significant effect from exposure to the U.S. Dollar, the Chinese Yuan, or the European Euro from January 2002 to December 2007. Based on the findings, we propose a hedging method using real options analysis and a binomial decision tree model as a strategy to mitigate the impact of exchange rate exposure, which illustrates that options theory can provide useful financial hedges by introducing adjustment costs or providing faster adjustment procedures.

    本文言語English
    ホスト出版物のタイトルIEEM 2009 - IEEE International Conference on Industrial Engineering and Engineering Management
    ページ1180-1184
    ページ数5
    DOI
    出版ステータスPublished - 2009
    イベントIEEE International Conference on Industrial Engineering and Engineering Management, IEEM 2009 - Hong Kong
    継続期間: 2009 12 82009 12 11

    Other

    OtherIEEE International Conference on Industrial Engineering and Engineering Management, IEEM 2009
    CityHong Kong
    Period09/12/809/12/11

    ASJC Scopus subject areas

    • Management of Technology and Innovation
    • Information Systems and Management
    • Industrial and Manufacturing Engineering
    • Safety, Risk, Reliability and Quality

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