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...

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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
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http://creativecommons.org/licenses/by-nc/4.0
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oai_identifier_str oai:repository.udem.edu.co:11407/5595
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network_name_str Repositorio UDEM
repository_id_str
dc.title.eng.fl_str_mv Efficiency of forward as an instrument for exchange risk coverage in companies performing foreign trade operations, 2011-2017
dc.title.por.fl_str_mv Eficiência do forward como instrumento de cobertura do risco cambial nas empresas que realizam operações de comércio exterior, 2011-2017
dc.title.spa.fl_str_mv Eficiencia del forward como instrumento de cobertura del riesgo cambiario en las empresas que realizan operaciones de comercio exterior, 2011-2017
title Efficiency of forward as an instrument for exchange risk coverage in companies performing foreign trade operations, 2011-2017
spellingShingle Efficiency of forward as an instrument for exchange risk coverage in companies performing foreign trade operations, 2011-2017
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
title_short Efficiency of forward as an instrument for exchange risk coverage in companies performing foreign trade operations, 2011-2017
title_full Efficiency of forward as an instrument for exchange risk coverage in companies performing foreign trade operations, 2011-2017
title_fullStr Efficiency of forward as an instrument for exchange risk coverage in companies performing foreign trade operations, 2011-2017
title_full_unstemmed Efficiency of forward as an instrument for exchange risk coverage in companies performing foreign trade operations, 2011-2017
title_sort Efficiency of forward as an instrument for exchange risk coverage in companies performing foreign trade operations, 2011-2017
dc.subject.eng.fl_str_mv International trade
Forwards
Financial risk
Exchange rate risk
Foreign exchange risk
topic 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
dc.subject.por.fl_str_mv Comércio internacional
Forwards
Risco financeiro
Risco de taxa de câmbio
Risco cambial
dc.subject.spa.fl_str_mv Comercio internacional
Forwards
Riesgo financiero
Riesgo de tasa de cambio
Riesgo cambiario
description 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.
publishDate 2019
dc.date.accessioned.none.fl_str_mv 2019-12-05T15:56:56Z
dc.date.available.none.fl_str_mv 2019-12-05T15:56:56Z
dc.date.created.none.fl_str_mv 2019-11-06
dc.date.issued.none.fl_str_mv 2019-11-06
dc.date.none.fl_str_mv 2019-04-01
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dc.identifier.issn.none.fl_str_mv 1692-2530
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/11407/5595
dc.identifier.doi.none.fl_str_mv https://doi.org/10.22395/seec.v22n51a3
dc.identifier.eissn.none.fl_str_mv 2248-4078
dc.identifier.reponame.spa.fl_str_mv reponame:Repositorio Institucional Universidad de Medellín
dc.identifier.instname.spa.fl_str_mv instname:Universidad de Medellín
identifier_str_mv 1692-2530
2248-4078
reponame:Repositorio Institucional Universidad de Medellín
instname:Universidad de Medellín
url http://hdl.handle.net/11407/5595
https://doi.org/10.22395/seec.v22n51a3
dc.language.iso.none.fl_str_mv spa
language spa
dc.relation.none.fl_str_mv https://revistas.udem.edu.co/index.php/economico/article/view/2965
dc.relation.ispartof.none.fl_str_mv Semestre Económico
dc.relation.ispartofseries.none.fl_str_mv Semestre Económico Universidad de Medellín Vol. 22 Núm. 51 (2019)
dc.relation.haspart.none.fl_str_mv Semestre Económico; Vol. 22 Núm. 51 abril-junio 2019
dc.relation.citationvolume.none.fl_str_mv 22
dc.relation.citationissue.none.fl_str_mv 51
dc.relation.citationstartpage.none.fl_str_mv 46
62
dc.relation.citationendpage.none.fl_str_mv p. 45-62
dc.relation.references.none.fl_str_mv Agudelo Rueda, Diego. (2014). Inversiones en renta variable: fundamentos y aplicaciones al mercado accionario colombiano. Medellín: Fondo Editorial Universidad Eafit, 474 p.
Banco de la República. (2013). ¿Qué es la tasa de cambio? Bogotá: Banrepública. Bolsa de Valores de Colombia. (2008). Guía colombiana del mercado de valores. Bogotá: Colombia, 250p.
BVC. (2017). Integración Corporativa Deceval - BVC. Bogotá: BBV, 12p.
Carbaugh, R. (2016). Economía internacional. México: Gengage Learning. 250 p.
Comisión Nacional del Mercado de Valores. (2015). Los Fondos Cotizados (ETF). Bogotá: BBVA.
DIAN Dirección de Impuestos y Aduanas Nacionales . (2019). Preguntas frecuentes sobre elcontrol cambiario. Bogotá: DIAN.
Fradique-Méndez, Carlos. (2014). Guía del mercado de valores. Bolsa de Valores de Colombia. 113 p.
García, Pablo y Díez, Luis. (2014). Mercados financieros internacionales. Madrid: Delta Publicaciones. 251 p.
Grath, Anders. (2016). The Handbook of International Trade and Finance. Londres: Kogan Page, 288 p.
De Jesús, Raúl; Ortiz, Edgar y Cabello, Alejandro. (2013). Long run peso/dollar exchange rates and extreme value behavior: Value at Risk modeling. En: The North American Journal of Economics and Finance, vol. 24, p. 139 152. DOI: 10.1016/j.najef.2012.06.001.
Jorion, Philippe. (2000). Valor en riesgo. Ciudad de México: Limusa. 357 p.
Jorion, Philippe. (1990). The Exchange-Rate Exposure of U. S. Multinationals. En: The Journal of Business, vol. 63, p. 331 345.
Kozikowski, Zbigniew. (2013). Finanzas internacionales. Toluca: McGraw-Hill, 300 p.
Krugman, Paul y Obstfeld, Maurice. (2012). Economía internacional. Teoría y política. Madrid: Pearson. 334 p.
Jacque, Laurent (2014). International Corporate Finance. New Jersey: Wiley, 360p.
McLeay, Michael; Radia, Amar y Thomas, Ryland. (2015). La creación del dinero en la economía moderna. En: Revista de Economía Institucional, vol. 17, n.o 33, p. 355 383.
Superintendencia Financiera de Colombia. (2017). Conformación del sistema financiero colombiano. Bogotá: SFC, 2 p.
Toro Díaz, Jairo; Redondo Ramírez, Isabel y Díaz Restrepo, Carlos. (2015). Riesgo Financiero en las empresas de la ciudad de Medellín durante el año 2013. En: Revista Gestión y Región, vol. 20, p. 139 159.
Uribe, José Darío. (2006). El mercado monetario en Colombia. En: Revista del Banco de la República, vol. 79, n.o 944, p. 1 - 9.
Uribe, José Darío. (2013). El sistema financiero colombiano: estructura y evolución reciente. En: Revista del Banco de la República, vol. 86, n.o 1023, p. 5-15.
Wang, Zongrun; Wu, Weitao; Chen, Chao y Zhou, Yanju. (2010). The exchange rate risk of Chinese yuan: Using VaR and ES based on extreme value theory. En: Journal of Applied Statistics, vol. 37, n.o 2, p. 265 282. DOI: 10.1080/02664760902846114
Ye, Min; Hutson, Elaine y Muckley, Cal. (2014). Exchange rate regimes and foreign exchange exposure: The case of emerging market firms. En: Emerging Markets Review, vol. 21, p. 156 182. doi.org/10.1016/j.ememar.2014.09.001
Zhou, Li; Zhang, Ning y Chen, Qing-yi. (2013). Value-at-Risk Modelling for Risk Management of RMB Exchange Rate. En: International Journal of Applied Mathematics and Statistics, vol. 43, n.o 13, p. 297 304.
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dc.format.medium.spa.fl_str_mv Electrónico
dc.coverage.none.fl_str_mv Lat: 06 15 00 N  degrees minutes  Lat: 6.2500  decimal degreesLong: 075 36 00 W  degrees minutes  Long: -75.6000  decimal degrees
dc.publisher.none.fl_str_mv Universidad de Medellín
dc.publisher.faculty.none.fl_str_mv Facultad de Derecho
publisher.none.fl_str_mv Universidad de Medellín
dc.source.none.fl_str_mv Semestre Económico; Vol. 22 Núm. 51 (2019): Abril-Junio; 45-62
institution Universidad de Medellín
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spelling 2019-04-012019-12-05T15:56:56Z2019-12-05T15:56:56Z2019-11-062019-11-061692-2530http://hdl.handle.net/11407/5595https://doi.org/10.22395/seec.v22n51a32248-4078reponame:Repositorio Institucional Universidad de Medellíninstname:Universidad de MedellínThis 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.Este artigo avalia a eficiência dos contratos forward derivados da taxa de câmbio dólares americanos/ pesos colombianos (USD/COP), como instrumentos de cobertura de risco cambial, ao qual estão expostas as empresas que realizam operações em divisas. Para isso, foram analisados os preços spot e forward USD/COP entre 2011 e 2017, disponíveis na Bolsa de Valores da Colômbia, avaliando seu risco por meio do VaR (value at risk) e avaliando seus impactos como instrumento de cobertura em risco de taxa de câmbio. Além da validação empírica do forward como instrumento de cobertura, foram verificadas algumas ineficiências desse instrumento financeiro, devido à sua baixa disponibilidade e aos altos custos de transação no uso desse derivado como instrumento de cobertura.Este artículo evalúa la eficiencia de los contratos forward derivados de la tasa de cambio dólares americanos/pesos colombianos (USD/COP), como instrumentos de cobertura de riesgo cambiario, al cual están expuestas las empresas que realizan operaciones en divisas. Para ello se analizaron los precios spot y forward USD/COP entre los años 2011 y 2017, disponibles en la Bolsa de Valores de Colombia, valorando su riesgo a través del VaR (value at risk) y evaluando sus impactos como instrumento de cobertura en riesgo de tasa de cambio. Además de la validación empírica del forward como instrumento de cobertura, se encontraron algunas ineficiencias de este instrumento financiero, debido a su baja disponibilidad y a los altos costos de transacción en el uso de este derivado como instrumento de cobertura.application/pdfPDFElectrónicospaUniversidad de MedellínFacultad de Derechohttps://revistas.udem.edu.co/index.php/economico/article/view/2965Semestre EconómicoSemestre Económico Universidad de Medellín Vol. 22 Núm. 51 (2019)Semestre Económico; Vol. 22 Núm. 51 abril-junio 201922514662p. 45-62Agudelo Rueda, Diego. (2014). Inversiones en renta variable: fundamentos y aplicaciones al mercado accionario colombiano. Medellín: Fondo Editorial Universidad Eafit, 474 p.Banco de la República. (2013). ¿Qué es la tasa de cambio? Bogotá: Banrepública. Bolsa de Valores de Colombia. (2008). Guía colombiana del mercado de valores. Bogotá: Colombia, 250p.BVC. (2017). Integración Corporativa Deceval - BVC. Bogotá: BBV, 12p.Carbaugh, R. (2016). Economía internacional. México: Gengage Learning. 250 p.Comisión Nacional del Mercado de Valores. (2015). Los Fondos Cotizados (ETF). Bogotá: BBVA.DIAN Dirección de Impuestos y Aduanas Nacionales . (2019). Preguntas frecuentes sobre elcontrol cambiario. Bogotá: DIAN.Fradique-Méndez, Carlos. (2014). Guía del mercado de valores. Bolsa de Valores de Colombia. 113 p.García, Pablo y Díez, Luis. (2014). Mercados financieros internacionales. Madrid: Delta Publicaciones. 251 p.Grath, Anders. (2016). The Handbook of International Trade and Finance. Londres: Kogan Page, 288 p.De Jesús, Raúl; Ortiz, Edgar y Cabello, Alejandro. (2013). Long run peso/dollar exchange rates and extreme value behavior: Value at Risk modeling. En: The North American Journal of Economics and Finance, vol. 24, p. 139 152. DOI: 10.1016/j.najef.2012.06.001.Jorion, Philippe. (2000). Valor en riesgo. Ciudad de México: Limusa. 357 p.Jorion, Philippe. (1990). The Exchange-Rate Exposure of U. S. Multinationals. En: The Journal of Business, vol. 63, p. 331 345.Kozikowski, Zbigniew. (2013). Finanzas internacionales. Toluca: McGraw-Hill, 300 p.Krugman, Paul y Obstfeld, Maurice. (2012). Economía internacional. Teoría y política. Madrid: Pearson. 334 p.Jacque, Laurent (2014). International Corporate Finance. New Jersey: Wiley, 360p.McLeay, Michael; Radia, Amar y Thomas, Ryland. (2015). La creación del dinero en la economía moderna. En: Revista de Economía Institucional, vol. 17, n.o 33, p. 355 383.Superintendencia Financiera de Colombia. (2017). Conformación del sistema financiero colombiano. Bogotá: SFC, 2 p.Toro Díaz, Jairo; Redondo Ramírez, Isabel y Díaz Restrepo, Carlos. (2015). Riesgo Financiero en las empresas de la ciudad de Medellín durante el año 2013. En: Revista Gestión y Región, vol. 20, p. 139 159.Uribe, José Darío. (2006). El mercado monetario en Colombia. En: Revista del Banco de la República, vol. 79, n.o 944, p. 1 - 9.Uribe, José Darío. (2013). El sistema financiero colombiano: estructura y evolución reciente. En: Revista del Banco de la República, vol. 86, n.o 1023, p. 5-15.Wang, Zongrun; Wu, Weitao; Chen, Chao y Zhou, Yanju. (2010). The exchange rate risk of Chinese yuan: Using VaR and ES based on extreme value theory. En: Journal of Applied Statistics, vol. 37, n.o 2, p. 265 282. DOI: 10.1080/02664760902846114Ye, Min; Hutson, Elaine y Muckley, Cal. (2014). Exchange rate regimes and foreign exchange exposure: The case of emerging market firms. En: Emerging Markets Review, vol. 21, p. 156 182. doi.org/10.1016/j.ememar.2014.09.001Zhou, Li; Zhang, Ning y Chen, Qing-yi. (2013). Value-at-Risk Modelling for Risk Management of RMB Exchange Rate. En: International Journal of Applied Mathematics and Statistics, vol. 43, n.o 13, p. 297 304.http://creativecommons.org/licenses/by-nc/4.0http://purl.org/coar/access_right/c_abf2Semestre Económico; Vol. 22 Núm. 51 (2019): Abril-Junio; 45-62International tradeForwardsFinancial riskExchange rate riskForeign exchange riskComércio internacionalForwardsRisco financeiroRisco de taxa de câmbioRisco cambialComercio internacionalForwardsRiesgo financieroRiesgo de tasa de cambioRiesgo cambiarioEfficiency of forward as an instrument for exchange risk coverage in companies performing foreign trade operations, 2011-2017Eficiência do forward como instrumento de cobertura do risco cambial nas empresas que realizam operações de comércio exterior, 2011-2017Eficiencia del forward como instrumento de cobertura del riesgo cambiario en las empresas que realizan operaciones de comercio exterior, 2011-2017Comunidad Universidad de MedellínLat: 06 15 00 N  degrees minutes  Lat: 6.2500  decimal degreesLong: 075 36 00 W  degrees minutes  Long: -75.6000  decimal degreesMedellínDíaz Restrepo, Carlos Andrés; Universidad Católica de PereiraRedondo Ramírez, Marlen Isabel; Universidad Libreinfo:eu-repo/semantics/articlehttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_2df8fbb1Díaz Restrepo, Carlos AndrésRedondo Ramírez, Marlen IsabelLICENSElicense.txttext/plain1165http://repository.udem.edu.co/bitstream/11407/5595/1/license.txt12a2cf2979d6555fb1b620ab38ba657eMD51ORIGINALSemestre_economico_387.pdfapplication/pdf514755http://repository.udem.edu.co/bitstream/11407/5595/2/Semestre_economico_387.pdfe8ccbcf3fd64764a56ee39a3c2c34f17MD52THUMBNAILSemestre_economico_387.pdf.jpgSemestre_economico_387.pdf.jpgIM Thumbnailimage/jpeg10354http://repository.udem.edu.co/bitstream/11407/5595/3/Semestre_economico_387.pdf.jpgb1fe0e9653aa4f2214999b6edd62e2f1MD5311407/5595oai:repository.udem.edu.co:11407/55952020-05-27 16:35:37.939Repositorio Institucional Universidad de Medellinrepositorio@udem.edu.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