The exchange rate crisis of September 1992 and the pricing of Italian financial futures

Article Abstract:

The loss in the trustworthiness of the bonds of the government of Italy tend not to influence Eurolira assets in the international market. During the September 1992 exchange rate crisis, there was volatility in the futures contracts involving the long-term bonds issued by the Italian Treasury. However, while the Italian Government Bonds (BTP) were also derailed by time-varying risk premiums, its Eurolira deposits ironically performed better after the financial crisis. Moreover, the volatility of the Eurolira futures pricing also dropped.

National Government Bonds, Italy, Prices and rates, Financial futures, Foreign exchange rates, Bonds, Bonds (Securities)

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Using derivatives in major currencies for cross-hedging currency risks in Asian emerging markets

Article Abstract:

Effective hedging of investments in emerging Asian markets by using futures and options denominated in major currencies such as Japanese yen and Swiss franc improves portfolio behavior. The stability in the cross hedges is shown in the break-down of overall period into four subperiods, with the last three periods use minimum-risk hedge ratios estimated in prior period. The forecasting of exchange rate changes as the only available information also does not hinder improvement of cross-hedging performance.

Foreign Currency Management, Evaluation, International aspects, Hedging (Finance), Developing countries, Foreign exchange futures

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