Geri Dön

Dövize dayalı vadeli işlem sözleşmeleri ve Türkiye uygulaması

Foreign currency futures and its application for Turkey

  1. Tez No: 86071
  2. Yazar: ÖZLEM TOPÇU KIRAÇ
  3. Danışmanlar: DOÇ. DR. OSMAN GÜRBÜZ
  4. Tez Türü: Yüksek Lisans
  5. Konular: Bankacılık, Ekonomi, Banking, Economics
  6. Anahtar Kelimeler: Borsa, Döviz, Vadeli işlem piyasaları, Vadeli işlem sözleşmeleri, Stock exchange, Foreign exchange, Futures markets, Future contracts
  7. Yıl: 1999
  8. Dil: Türkçe
  9. Üniversite: Marmara Üniversitesi
  10. Enstitü: Bankacılık ve Sigortacılık Enstitüsü
  11. Ana Bilim Dalı: Sermaye Piyasası ve Borsa Ana Bilim Dalı
  12. Bilim Dalı: Belirtilmemiş.
  13. Sayfa Sayısı: Belirtilmemiş.

Özet

Özet yok.

Özet (Çeviri)

(FtT($/FQ ( FC T-t\ | 360 IRR = i ',_____x l + i?fCx-- -Ux- 5,($/FQ V 3607 J 7W With actual values for FtT, S, and RFC, this equation can be solved to obtain the annualized implied repo rate. Hedging foreign currency transactions is often necessary to protect the profit expected on ordinary international business transactions. Exchange rates can be quite volatile and unpredictable, and can eliminate anticipated profits in a short period of time. Fortunately, this currency risk can be hedged with currency futures. A long hedge (i.e., buying currency futures contracts) protects against a rise in a foreign currency's value. A short hedge (i.e., selling currency futures contracts) protects against a decline in a foreign currency's value. A long hedge, for example, might be used by a U.S. importer who must pay in a foreign currency or by a borrower of a foreign currency who now holds a U.S. dollar investment but will in the future have to repay the foreign currency loan. In both instances there is an exposure to the risk that the foreign currency will become expensive. In contrast, a short hedge might be used by a U.S. exporter who expects to be paid in a foreign currency, or even by a non-U.S. importer who buys goods with U.S. dollars. In Turkey inflation rates are high, exchange rates are volatile. The economy is unstable and indefinite. That is why it will be useful to build up a futures market which will help to forecast forward prices of any asset. There is risk in any market, however the aim of the futures market is to eliminate these risks and to provide to hedge from these risks.6 forward or futures contract on the pound. But forward and futures prices will adjust so that the overall transaction will earn no more in U.S. dollars than the U.S. interest rate. The cost of the return ticket will offset any interest rate gains while in the foreign currency. The theoretical currency futures price is the price at which a profitable cash-and- carry (or reverse cash-and-carry) currency arbitrage does not exist. In a currency cash- and-carry arbitrage, one purchases the foreign currency at time t, carries it from t to T, and then sells it at time T at a price locked in by a short futures position acquired at time t. This is the same arbitrage transaction as buying gold at t, holding it from time t to T, and selling it at time T at a price locked in with a short gold futures position at time t.,“ T-t 1 + Rvs x F, j. ($ / FC) = S, ($ / FC) x (------------^) \ + RFCx-- 360 This equation defines the theoretical currency futures price, since the theoretical futures price is nothing more than the no-arbitrage futures price. It shows that the theoretical price is a function of the prevailing spot exchange rate and relative U.S. and foreign interest rates. A simple way to determine if a profitable riskless currency arbitrage opportunity exists is to calculate the implied repo rate on a foreign currency investment and compare this rate to the actual U.S. borrowing (or lending) rate. We can state the annualized implied repo rate (IRR) on that investment as(FtT($/FQ ( FC T-t\ | 360 IRR = i ',_____x l + i?fCx-- -Ux- 5,($/FQ V 3607 J 7W With actual values for FtT, S, and RFC, this equation can be solved to obtain the annualized implied repo rate. Hedging foreign currency transactions is often necessary to protect the profit expected on ordinary international business transactions. Exchange rates can be quite volatile and unpredictable, and can eliminate anticipated profits in a short period of time. Fortunately, this currency risk can be hedged with currency futures. A long hedge (i.e., buying currency futures contracts) protects against a rise in a foreign currency's value. A short hedge (i.e., selling currency futures contracts) protects against a decline in a foreign currency's value. A long hedge, for example, might be used by a U.S. importer who must pay in a foreign currency or by a borrower of a foreign currency who now holds a U.S. dollar investment but will in the future have to repay the foreign currency loan. In both instances there is an exposure to the risk that the foreign currency will become expensive. In contrast, a short hedge might be used by a U.S. exporter who expects to be paid in a foreign currency, or even by a non-U.S. importer who buys goods with U.S. dollars. In Turkey inflation rates are high, exchange rates are volatile. The economy is unstable and indefinite. That is why it will be useful to build up a futures market which will help to forecast forward prices of any asset. There is risk in any market, however the aim of the futures market is to eliminate these risks and to provide to hedge from these risks.6 forward or futures contract on the pound. But forward and futures prices will adjust so that the overall transaction will earn no more in U.S. dollars than the U.S. interest rate. The cost of the return ticket will offset any interest rate gains while in the foreign currency. The theoretical currency futures price is the price at which a profitable cash-and- carry (or reverse cash-and-carry) currency arbitrage does not exist. In a currency cash- and-carry arbitrage, one purchases the foreign currency at time t, carries it from t to T, and then sells it at time T at a price locked in by a short futures position acquired at time t. This is the same arbitrage transaction as buying gold at t, holding it from time t to T, and selling it at time T at a price locked in with a short gold futures position at time t.,”T-t 1 + Rvs x F, j. ($ / FC) = S, ($ / FC) x (------------^) \ + RFCx-- 360 This equation defines the theoretical currency futures price, since the theoretical futures price is nothing more than the no-arbitrage futures price. It shows that the theoretical price is a function of the prevailing spot exchange rate and relative U.S. and foreign interest rates. A simple way to determine if a profitable riskless currency arbitrage opportunity exists is to calculate the implied repo rate on a foreign currency investment and compare this rate to the actual U.S. borrowing (or lending) rate. We can state the annualized implied repo rate (IRR) on that investment as(FtT($/FQ ( FC T-t\ | 360 IRR = i ',_____x l + i?fCx-- -Ux- 5,($/FQ V 3607 J 7W With actual values for FtT, S, and RFC, this equation can be solved to obtain the annualized implied repo rate. Hedging foreign currency transactions is often necessary to protect the profit expected on ordinary international business transactions. Exchange rates can be quite volatile and unpredictable, and can eliminate anticipated profits in a short period of time. Fortunately, this currency risk can be hedged with currency futures. A long hedge (i.e., buying currency futures contracts) protects against a rise in a foreign currency's value. A short hedge (i.e., selling currency futures contracts) protects against a decline in a foreign currency's value. A long hedge, for example, might be used by a U.S. importer who must pay in a foreign currency or by a borrower of a foreign currency who now holds a U.S. dollar investment but will in the future have to repay the foreign currency loan. In both instances there is an exposure to the risk that the foreign currency will become expensive. In contrast, a short hedge might be used by a U.S. exporter who expects to be paid in a foreign currency, or even by a non-U.S. importer who buys goods with U.S. dollars. In Turkey inflation rates are high, exchange rates are volatile. The economy is unstable and indefinite. That is why it will be useful to build up a futures market which will help to forecast forward prices of any asset. There is risk in any market, however the aim of the futures market is to eliminate these risks and to provide to hedge from these risks.6 forward or futures contract on the pound. But forward and futures prices will adjust so that the overall transaction will earn no more in U.S. dollars than the U.S. interest rate. The cost of the return ticket will offset any interest rate gains while in the foreign currency. The theoretical currency futures price is the price at which a profitable cash-and- carry (or reverse cash-and-carry) currency arbitrage does not exist. In a currency cash- and-carry arbitrage, one purchases the foreign currency at time t, carries it from t to T, and then sells it at time T at a price locked in by a short futures position acquired at time t. This is the same arbitrage transaction as buying gold at t, holding it from time t to T, and selling it at time T at a price locked in with a short gold futures position at time t.," T-t 1 + Rvs x F, j. ($ / FC) = S, ($ / FC) x (------------^) \ + RFCx-- 360 This equation defines the theoretical currency futures price, since the theoretical futures price is nothing more than the no-arbitrage futures price. It shows that the theoretical price is a function of the prevailing spot exchange rate and relative U.S. and foreign interest rates. A simple way to determine if a profitable riskless currency arbitrage opportunity exists is to calculate the implied repo rate on a foreign currency investment and compare this rate to the actual U.S. borrowing (or lending) rate. We can state the annualized implied repo rate (IRR) on that investment as(FtT($/FQ ( FC T-t\ | 360 IRR = i ',_____x l + i?fCx-- -Ux- 5,($/FQ V 3607 J 7W With actual values for FtT, S, and RFC, this equation can be solved to obtain the annualized implied repo rate. Hedging foreign currency transactions is often necessary to protect the profit expected on ordinary international business transactions. Exchange rates can be quite volatile and unpredictable, and can eliminate anticipated profits in a short period of time. Fortunately, this currency risk can be hedged with currency futures. A long hedge (i.e., buying currency futures contracts) protects against a rise in a foreign currency's value. A short hedge (i.e., selling currency futures contracts) protects against a decline in a foreign currency's value. A long hedge, for example, might be used by a U.S. importer who must pay in a foreign currency or by a borrower of a foreign currency who now holds a U.S. dollar investment but will in the future have to repay the foreign currency loan. In both instances there is an exposure to the risk that the foreign currency will become expensive. In contrast, a short hedge might be used by a U.S. exporter who expects to be paid in a foreign currency, or even by a non-U.S. importer who buys goods with U.S. dollars. In Turkey inflation rates are high, exchange rates are volatile. The economy is unstable and indefinite. That is why it will be useful to build up a futures market which will help to forecast forward prices of any asset. There is risk in any market, however the aim of the futures market is to eliminate these risks and to provide to hedge from these risks.

Benzer Tezler

  1. Tez No

    71783

    Faiz riskinden korunmada vadeli işlem piyasası araçlarının kullanımı ve Türkiye'de uygulama çalışmaları

    Başlık çevirisi yok

    PINAR AKSEKİ

    Yüksek Lisans

    Türkçe

    Türkçe

    1998

    BankacılıkMarmara Üniversitesi

    Bankacılık Ana Bilim Dalı

    PROF. DR. VİLDAN SERİN

  2. Tez No

    92809

    Risk yönetiminde finansal türevlerin Türkiye açısından değerlendirilmesi

    Financial derivatives in the risk management and the appraisal of the financial derivatives with respect to Türkiye

    RECAİ BİBEROĞLU

    Yüksek Lisans

    Türkçe

    Türkçe

    2000

    EkonomiGazi Üniversitesi

    Dış Ticaret Eğitimi Bilim Dalı

    DOÇ. DR. NEVZAT AYPEK

  3. Tez No

    62849

    Financial risk management through derivative insruments and the development of financial futures markets in Turkey

    Türev ürünlerle finansal risk yönetimi ve Türkiye`de vadeli işlem piyasalarının gelişimi

    K. NURAY TOLA

    Yüksek Lisans

    İngilizce

    İngilizce

    1997

    EkonomiOrta Doğu Teknik Üniversitesi

    Ekonomi Ana Bilim Dalı

    PROF. DR. NUR KEYDER

  4. Tez No

    18950

    Alternative products of international FX markets

    Başlık çevirisi yok

    M.HAYATİ ERİŞ

    Yüksek Lisans

    İngilizce

    İngilizce

    1991

    BankacılıkMarmara Üniversitesi

  5. Tez No

    62140

    İşletmelerde kur riski yönetimi

    Management of exchange risk in firms

    AYŞEGÜL ÖKER

    Yüksek Lisans

    Türkçe

    Türkçe

    1997

    EkonomiKocaeli Üniversitesi

    Muhasebe ve Finansman Ana Bilim Dalı

    PROF. DR. ABDURRAHMAN FETTAHOĞLU

Geri Dön