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 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.

• Fecha de publicación: 2019
• Institución: Universidad de Medellín
• Repositorio: Repositorio UDEM
• Idioma: spa
• 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
• Palabra clave: International trade; Forwards; Financial risk; Exchange rate risk; Foreign exchange risk; Comércio internacional; Forwards; Risco financeiro; Risco de taxa de câmbio; Risco cambial; Comercio internacional; Forwards; Riesgo financiero; Riesgo de tasa de cambio; Riesgo cambiario
• License: http://creativecommons.org/licenses/by-nc/4.0