Articles

Dynamic equilibrium and the real exchange rate in a spatially separated world

B. DUMAS

Review of Financial Studies

1992, vol. 5, n°2, pp.153-180

Départements : Finance


Gérer l'après-acquisition

B. MAROIS

Fusions et Acquisitions

décembre 1992, pp.15-16

Départements : Finance


Hypotheses Testing of Stationarity of AR(1) Process

K. Livshits, D. LESHCHINSKII

Technique of Communication Facilities

1992, n°6, pp.11-16

Départements : Finance


Le nouveau paysage bancaire européen

B. MAROIS

Gestion 2000

août 1992, n°4, pp.81-91

Départements : Finance


Les acquisitions transfrontières dans les stratégies européennes des banques françaises

B. MAROIS

Banque et Stratégie

octobre 1992, n°88

Départements : Finance


Les stratégies d'alliance des banques françaises en Europe

B. MAROIS

Banque et Stratégie

avril 1992, n°83

Départements : Finance


Oligopoly, uncertainty and strategic forward transactions

B. ALLAZ

International Journal of Industrial Organization

juin 1992, vol. 10, n°2, pp.297-308

Départements : Finance, GREGHEC (CNRS)


We build a simple two-period model of an oligopoly producing a homogeneous good that can also be traded on a forward market It is shown that in such a sequential model where forward decisions are taken prior to spot decisions, forward transactions can be an effective tool in the hands of noncompetitive producers Whether the oligopolists end up long or short on the forward market depends on the interaction between strategy and risk hedging as well as on the type of conjectural variation that is assumed

Optimal currency hedge ratios and interest rate risk

E. Briys, B. SOLNIK

Journal of International Money and Finance

octobre 1992, vol. 11, n°5, pp.431-445

Départements : Finance


The objective of this article is to provide a framework for the interpretation of the optimal currency hedge ratios on foreign investments, taking into account interest rate risk. This is made possible by using a continuous-time setting in the spirit of Merton (1969). We focus on the importance of the interest rate differential (forward basis) in setting the optimal currency hedge because of the influence of interest rates on exchange rates. More specifically, we consider two discount bonds, a domestic and a foreign one, which follow stochastic processes possibly correlated with the other state variables of the model. It is shown that the optimal hedge ratio can be split into five components: (a) a 'macro-economic' component which is a function of the volatility of the interest rate differential and its covariance with currency movements; this term depends on the currency considered but not on the asset being hedged; (b) an 'asset-specific' term which is directly related to the covariance of the foreign currency asset return with exchange and interest rate movements; (c) a 'speculative' term function of the investor's risk preference and of the conditional risk premium on the exchange rate, and (d) two stochastic opportunity set hedging terms. The analysis of the optimal hedge ratio is illustrated on the period December 1970'1989 for stock and bond investments in seven countries

The European strategies of French banks

B. MAROIS

Bank Archiv, Vienne

1992, n°1, pp.3-11

Départements : Finance



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