Udo Broll
Biographic Data
| ID | 5737887 |
|---|---|
| NAME | Udo Broll |
| GIVEN NAMES | Udo |
| FAMILY NAME | Broll |
| SIGNATURE | BROLL U |
| AFFILIATIONS | Technische Universität Dresden |
| VERIFIED | No |
| TOTAL WORKS | 7 |
| TOTAL CITATIONS | 1 |
| WORKS AS AUTHOR | 7 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1988 |
| LATEST PUBLICATION YEAR | 2019 |
| H-INDEX | 1 |
Risk preferences estimation of exporting firms under exchange rate uncertainty
This note empirically analyses how exchange rate fluctuations affects firms’ optimal production and exporting decisions. A firm’s elasticity of risk aversion determines the direction of the impact of exchange rate risk on exports. Based on a flexible utility function that incorporates all possible risk preferences, a unique structurally estimable equation is derived. Quantile regression method is used to estimate this equation and compute the ris…
Collateral in banking policy
Differential Taxation and Corporate Futures-Hedging
Using a two-moment decision model, this paper analyzes corporate hedging behavior in the presence of differential versus unified income taxation. We start with the well-known result that risk-taking may increase when income tax rates increase and, therefore, the incentive for hedging decreases. We demonstrate that pure hedging is differently affected by taxation from the way speculative hedging is. Analyzing the tax sensitivity of the corporate h…
Multiple Currencies and Hedging
This paper presents a model of a competitive exporting firm confronting multiple currency risks. Future markets do not exist for the firm’s own currency, but do exist between currencies of two countries to which the firm exports its entire output. We provide analytical insight into optimal cross‐hedging and its implications on production and on trade flows. We show that the unbiasedness of the cross‐currency futures market does not imply non‐rand…
Missing risk sharing markets and the benefits of cross-hedging in developing countries
Multinational Firm, Foreign Production, and Hedging Behaviour
This paper presents a model of a risk-averse multinational firm under exchange rate risk. The authors show that the firm's foreign production decision and its intrafirm trade transactions can be separated from its hedging behavior if forward markets are available. As a result, a separation theorem holds for a multinational firm: intrafirm trade, foreign production, and domestic production are determined (as in the certainty case) simultaneously b…
Intra‐industry Trade and Differences in Technology
Multiple Currencies and Hedging
This paper presents a model of a competitive exporting firm confronting multiple currency risks. Future markets do not exist for the firm’s own currency, but do exist between currencies of two countries to which the firm exports its entire output. We provide analytical insight into optimal cross‐hedging and its implications on production and on trade flows. We show that the unbiasedness of the cross‐currency futures market does not imply non‐rand…
Intra‐industry Trade and Differences in Technology
Multinational Firm, Foreign Production, and Hedging Behaviour
This paper presents a model of a risk-averse multinational firm under exchange rate risk. The authors show that the firm's foreign production decision and its intrafirm trade transactions can be separated from its hedging behavior if forward markets are available. As a result, a separation theorem holds for a multinational firm: intrafirm trade, foreign production, and domestic production are determined (as in the certainty case) simultaneously b…
Missing risk sharing markets and the benefits of cross-hedging in developing countries
Multiple Currencies and Hedging
This paper presents a model of a competitive exporting firm confronting multiple currency risks. Future markets do not exist for the firm’s own currency, but do exist between currencies of two countries to which the firm exports its entire output. We provide analytical insight into optimal cross‐hedging and its implications on production and on trade flows. We show that the unbiasedness of the cross‐currency futures market does not imply non‐rand…
Differential Taxation and Corporate Futures-Hedging
Using a two-moment decision model, this paper analyzes corporate hedging behavior in the presence of differential versus unified income taxation. We start with the well-known result that risk-taking may increase when income tax rates increase and, therefore, the incentive for hedging decreases. We demonstrate that pure hedging is differently affected by taxation from the way speculative hedging is. Analyzing the tax sensitivity of the corporate h…
Collateral in banking policy
Risk preferences estimation of exporting firms under exchange rate uncertainty
This note empirically analyses how exchange rate fluctuations affects firms’ optimal production and exporting decisions. A firm’s elasticity of risk aversion determines the direction of the impact of exchange rate risk on exports. Based on a flexible utility function that incorporates all possible risk preferences, a unique structurally estimable equation is derived. Quantile regression method is used to estimate this equation and compute the ris…
Economics (6 works) · Computer Science (4 works) · Financial economics (4 works) · Business (3 works) · Global trade and economics (3 works) · Monetary economics (3 works) · Risk Management in Financial Firms (3 works) · Citation (2 works) · Currency (2 works) · Econometrics (2 works)