ISSN:0954-1314    

DOI:10.1111/j.1467-646X.1989.tb00001.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

ISSN:0954-1314    

DOI:10.1111/j.1467-646X.1989.tb00002.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractSwap rate risk, also called the problem of' “maturity gaps,” originates from foreign currency holdings whenever the involved contracts have differing maturities. Such differing maturities give rise to a sensitivity of the portfolio values with respect to the “swap rate,” or differential between the relative interest rates in two countries. Volatility risk, which typically affects only currency contracts having asymmetric payoffs (such as currency options), gives rise to a sensitivity of portfolio values with respect to changes in the exchange rate volatility. In this article we show how currency portfolios may beimmunized, or made insensitive, to both swap rate risk and volatility risk, in the sense of Macaulay's (1938) classical treatment of interest rate risk. The European currency option contract is the primary subject of our discussion, since we show that both ordinary forward contracts and other complicated currency contracts are equivalent to suitable combinations of European currency

ISSN:0954-1314    

DOI:10.1111/j.1467-646X.1989.tb00003.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

ISSN:0954-1314    

DOI:10.1111/j.1467-646X.1989.tb00004.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY

摘要:

AbstractThe creation of International Banking Facilities (IBFs) in 1981 was an attempt by U.S. banking regulators to allow U.S.‐based banks and their offshore customers to have access to the Euromarket in a U.S. political and legal jurisdiction, operating in a U.S. time zone. The expected benefits were as follows: 1. the cost of capital for U.S.‐based banks (both U.S. and foreign‐owned) and their offshore customers, particularly multinational firms, would be reduced due to lower political risk, no reserve requirements, and no Federal Deposit Insurance Corporation requirements; 2. Banks could potentially reduce their operating costs to die extent that IBFs replaced offshore shell branches; 3. Additional bank employment would be created in the U.S.; 4. although IBFs would not be subject to U.S. Federal taxes, a geographical shift of bank assets to the U.S. might create a higher Federal tax revenue due to a reduction in foreign tax credit claimed by the banks.In retrospect the performance of IBFs has shown mixed results. With respect to cost of capital, the IBFs must have been cost effective because there has been an impressive growth in IBF assets and loans, coincident with a stagnation in the offshore bank shell branches. However, die largest benefit of this growdi has accrued to foreign‐owned IBFs. With respect to lower operating costs, the IBFs have not caused the offshore shell branches to close since they are needed to do business with U.S. residents. With respect to employment, bank employment in the U.S. has gone up marginally, although not nearly as much as originally predicted. The impact of IBFs on Federal tax revenues was not investigated in this study.Public policy impacts of IBF operations have also been less than expected in that IBFs have not eliminated the need for offshore shell‐branches in the Caribbean, although they have significantly stifled growth in these financial centers. The entrance of the Japanese Offshore Market in December 1986 and the potential that other countries may enter the competition could well have long term negative impacts on the growth potential of

ISSN:0954-1314    

DOI:10.1111/j.1467-646X.1989.tb00005.x

出版商:Blackwell Publishing Ltd    

年代:1989

数据来源: WILEY