Linking the interest rate swap markets to the macroeconomic risk: The UK and us evidence

Azad, A. S. M. Sohel; Fang, Victor; Hung, Chi-Hsiou Daniel

doi:10.1016/j.irfa.2012.03.001

Cited by 13 publications

(4 citation statements)

References 31 publications

(48 reference statements)

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“…On the other hand, firms based in less risky countries may have lower expected financial distress costs and less incentive for risk management. Recently, Azad, Fang, and Hung (2012) and Kim, Papanastassiou and Nguyen (2016) found evidence that higher degrees of economic, financial, and political risk encourage firms to use derivatives more intensively.…”

Section: Epu and Derivatives Usementioning

confidence: 99%

Policy uncertainty, derivatives use, and firm-level FDI

2017

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We explore the link between uncertainty in economic policy, firm-level FDI, and firm hedging behavior -building upon a newspaper-based index of economic policy uncertainty (EPU). We find that the relative difference in EPU between home and host country has a significant relationship with FDI. Firms increase their FDI level in countries, which have a low level of EPU relative to their home country. In addition, firms use derivatives more intensively in response to an increase in EPU. Interestingly, the link between EPU and corporate derivatives use varies according to the type of firm. Domestic MNCs make the most effective use of derivatives to hedge against EPU exposure. Journal of International Business Studies (2018) 49, 96-126.

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Section: Epu and Derivatives Usementioning

confidence: 99%

Policy uncertainty, derivatives use, and firm-level FDI

2017

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“…It mainly introduces the experimental design, theory, risk-level modeling, and result statistical analysis to effectively evaluate the impact of risk factors on system performance. Related risk factors are composed of main characteristics, mechanisms, and multiple factors [10]. e literature introduces the decision-making simulation of the risk management of the renewable energy consumption market.…”

Section: Related Workmentioning

confidence: 99%

Heterogeneous Group Risk Decision Behavior Simulation Based on Particle Swarm Optimization Algorithm

2022

Mobile Information Systems

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This paper studies the general SoC design AMBA bus and proposes an automatic generation method of software structure test data based on adaptive data optimization algorithm. By simplifying the basic particle expansion equation and eliminating the particle velocity term, an adaptive scheme based on inertia weight is proposed. In the research process, this article fully considers heterogeneous groups. Investment companies are divided into three types of decision-makers: reciprocal, intelligent, and leveraged, and their investment behavior is modeled. Given that factors such as technical level will affect the future of the project, and swarm simulation software is used to simulate and analyze the impact of the profitability of smart community microgrid construction projects on decision-making and to conduct dynamic research on market modeling risks. This article first outlines the construction of the renewable energy macro- and micro-market risk decision-making behavior model and clarifies the logic process of the market to promote the consumption of renewable energy. Then, it analyzes the causes of market risks based on dynamic models, first examines the relationship between key risks and risk factors, forms risks that affect returns (bilateral random risks and market efficiency risks), and then an analysis framework for the impact of renewable energy. This paper applies it to the analysis of data-based algorithms, thereby promoting the development of data-based algorithms.

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“…On the other hand, firms based in less risky countries may have lower expected financial distress costs and less need for risk management. Recently, Azad et al (2012) and Kim et al (2017) find evidence that a higher degree of economic, financial and political risks encourages firms to use derivatives more intensively.…”

Section: Exposures To Country Risks and The Use Of Derivativesmentioning

confidence: 99%

Financial derivatives use and multifaceted exposures

Trang

2018

JABES

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Purpose The purpose of this paper is to assess the effect of financial derivatives use on different exposures by comparing domestic firms, domestic multinational corporations (MNCs) and affiliates of foreign MNCs using a unique hand-collected data set of derivatives activities from 881 non-financial firms in eight East Asian countries over the period of 2003-2013. Design/methodology/approach In this paper, the authors apply a two-stage approach. In the first stage, exposures to country risks, exchange rate and interest rate risks are estimated by using the market model. In the second stage, potential effects of firms’ derivatives use on multifaceted exposures are investigated by carrying out pooled regression model, and panel data regressions with random effect specifications. Findings The authors provide novel evidence that financial hedging of domestic firms and domestic MNCs reduces exposure to home country risks by 10.91 and 14.42 percent per 1 percent increase in notional derivative holdings, respectively, while affiliates of foreign MNCs fail to mitigate exposure to host country risks. The use of foreign currency and interest rate derivatives by domestic firms and domestic MNCs is effective in alleviating such firms’ exposures to varied degrees, while foreign affiliates’ use of derivatives can only lower interest rate exposures. Originality/value The primary theoretical contribution of this study is applying the market model to estimate exposures to home and host country risks. Regarding empirical contributions, the authors provide strong evidence that the use of financial derivatives by domestic firms and domestic MNCs significantly contributes to a decline in exposure to home country risks, and evidence the outperformance of domestic MNCs vis-à-vis domestic firms and foreign affiliates.

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Linking the interest rate swap markets to the macroeconomic risk: The UK and us evidence

Cited by 13 publications

References 31 publications

Policy uncertainty, derivatives use, and firm-level FDI

Policy uncertainty, derivatives use, and firm-level FDI

Heterogeneous Group Risk Decision Behavior Simulation Based on Particle Swarm Optimization Algorithm

Financial derivatives use and multifaceted exposures

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