Abstract

DIAZ RESTREPO, Carlos Andrés  and  REDONDO RAMIREZ, Marlen Isabel. EFFICIENCY OF FORWARD ASAN INSTRUMENT FOR EXCHANGE RISK COVERAGE IN COMPANIES PERFORMING FOREIGN TRADE OPERATIONS, 2011-2017. Semest. Econ. [online]. 2019, vol.22, n.51, pp.45-62. ISSN 0120-6346.  https://doi.org/10.22395/seec.v22n51a3.

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.

JEL CLASSIFICATION: G11, G14, G23, G32

CONTENTS: Introduction; 1. Exchange rate; 1.1. Exchange rates and foreign exchange market; 2. Foreign exchange risk; 2.1. Colombian financial system; 3. Methodology; 3.1. Information recollection; 4. Results; 4.1. Analysis of the peso / dollar spot value between 2011 and 2017; 4.2. Analysis of the forward peso/ dollar price between 2011 and 2017; 5. Conclusions; Bibliography.

Keywords : International trade; forwards; financial risk; exchange rate risk; foreign exchange risk.

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