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1、CHAPTER39CURRENCYRISKMANAGEMENTINEMERGINGMARKETS∗H.GiffordFongOneofthemajorrisksinvestorsinemergingmarketstakeiscurrencyrisk,andthesemarketsoftenhavefewinstrumentsforcreatingcommonhedges.Theappropriatealternativeformanagingcurrencyriskinsuchenvironmentsdependsonthecorrelationoftheemergingmarket’scur
2、rencywiththecurrencyofoneofthedevelopedeconomies.Forlow-correlationcountries,thestrategiesarecomplicatedandlessprecisethanforhigh-correlationcountries,buttheycanbeeffective.Emergingmarketinvestmentshavethepotentialforhighreturns,buttheassociatedrisk,includingcurrencyrisk,canbesignificant.Manyofthesta
3、ndardtoolsusedtohedgecur-rencyrisk,suchasfutures,options,andswapcontracts,areeithernotavailableinemergingcountriesor,whereavailable,tradeininefficientandilliquidmarkets,makingitveryhardtoexitfromaposition.Thispresentationprovidescurrency-riskmanagementstrategiesthatcanbeappliedtoemergingmarketinvesti
4、ng.Emergingmarketsareclassifiedintotwogroups:countrieswhosecurrenciesarehighlycorrelatedwithamajorcurrencyonwhichcontractsaretradedandcountrieswhosecurrencieshavelowcorrelationswithmajorcurrencies.Fortheformergroup,thehighlycorrelatedmajorcurrencycanberegardedasasubstituteforthelocalcur-rency,andtrad
5、itionalinstrumentscanbeusedtomanagecurrencyrisk.Forthelattergroup,otherstrategies,suchasamoneymarkethedgeoracommodityfuturescontract,provideuse-fultechniquesforhedgingcurrencyrisk.∗ReprintedfromAIMRConferenceProceedings:InvestingWorldwideVII(September1996):18–23.567CH039.indd5678/28/108:44:43PM568Pa
6、rtIII:ManagingRisk—GlobalRiskMANAGINGCURRENCYRISKCurrenciescancreatethreetypesofexposures.Atransactionexposureinvolvesexposureinexist-ingtransactions,suchaspaymentsforlaborandmaterials,tobemadeinaforeigncurrency.Ifthepaymentcurrency(e.g.,theU.S.dollar)goesdownrelativetothelocalcurrency,theresultcanb
7、ehigherdollaroutflows.Thesecondkindofcurrencyexposureistranslationexposure,whichinvolvesbalancesheetlosses(orgains)intranslatingtheaccountsofaforeignsubsidiarytotheconsolidatedaccountsofthehome-basedpa
