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Dynamic analysis of an open economy and foreign exchange risk management using path-dependent options

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dc.contributor.authorTsu, Maria E.en
dc.contributor.departmentEconomicsen
dc.date.accessioned2014-03-14T21:38:05Zen
dc.date.adate2009-06-11en
dc.date.available2014-03-14T21:38:05Zen
dc.date.issued1994en
dc.date.rdate2009-06-11en
dc.date.sdate2009-06-11en
dc.description.abstractThe continuing trend towards greater globalization and interdependency of the world economies offers opportunities for long-run efficiency gains for all economies but poses short-run risks for firms operating in international arenas. Recession, inflation, interest rates and exchange rates in a foreign nation impact multinational firms with business interests in that nation, and ultimately affect the domestic economies of such firms. For example, foreign interest rate shocks or exchange rate volatility increases both increase the uncertainty and risk associated with multinational operations. This study examines the impact of foreign economic shocks on domestic economic variables and evaluates the use of options as financial hedging instruments against foreign currency exchange risk. The study is divided into two parts: (1) a dynamic model of an open economy is developed and used to simulate the impact of foreign economic shocks on domestic economic variables; and (2) two types of path dependent options (Average rate and Lookback options) are compared to standard European options as instruments for hedging against foreign exchange risk under various interest rate and exchange rate volatility scenarios.en
dc.description.degreeMaster of Artsen
dc.format.extentvii, 144 leavesen
dc.format.mediumBTDen
dc.format.mimetypeapplication/pdfen
dc.identifier.otheretd-06112009-063829en
dc.identifier.sourceurlhttp://scholar.lib.vt.edu/theses/available/etd-06112009-063829/en
dc.identifier.urihttp://hdl.handle.net/10919/43188en
dc.language.isoenen
dc.publisherVirginia Techen
dc.relation.haspartLD5655.V855_1994.T78.pdfen
dc.relation.isformatofOCLC# 32002992en
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subject.lccLD5655.V855 1994.T78en
dc.subject.lcshForeign exchange management -- Econometric modelsen
dc.subject.lcshRisk managementen
dc.titleDynamic analysis of an open economy and foreign exchange risk management using path-dependent optionsen
dc.typeThesisen
dc.type.dcmitypeTexten
thesis.degree.disciplineEconomicsen
thesis.degree.grantorVirginia Polytechnic Institute and State Universityen
thesis.degree.levelmastersen
thesis.degree.nameMaster of Artsen

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