El riesgo de tipo de cambio hace referencia a la exposición a una eventual apreciación o depreciación de la divisa nacional respecto a la divisa extranjera, por parte de un agente económico en el cobro/pago de una actividad económica.

Las entidades financieras también se ven expuestas por el riesgo de tipo de cambio en sus actividades de tesorería y mercado de capitales denominados en divisas extranjeras.

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Exchange rate risks can be arranged into three primary categories:

Economic exposure: operating costs will rise due to changes in rates and make a product uncompetitive in the world market. Little can be done to reduce this routine business risk that every enterprise must endure.

Translation exposure: the impact of currency exchange rates will reduce a company´s earnings and weaken its balance sheet. To reduce translation exposure, experienced corporate fund managers use a variety of techniques known as currency hedging.

Transaction exposure: There will be an unfavorable move in a specific currency between the time when a contract is agreed and the time it is completed, or between the time when a lending or borrowing is initiated and the time the funds are repaid. Transaction exposure can be eased by factoring .

Although there is no definitive way of forecasting exchange rates, largely because the world´s economies and financial markets are evolving so rapidly, the relationships between exchange rates, interest rates, and inflation rates can serve as leading indicators of changes in risk. These relationships are as follows:

• Purchasing Power Parity theory (PPP): while it can be expressed differently, the most common expression links the changes in exchange rates to those in relative price indices in two countries:
  • Rate of change of exchange rate = Difference in inflation rates.

• International Fisher Effect (IFE): this holds that an interest-rate differencial will exist only if the exchange rate is expected to change in such a way that the advantage of the higher interest rate is offset by the loss on the foreign exchange transactions. Practically speaking, the IFE implies that while an investor in a low-interest country can convert funds into the currency of a high-interest ountry and earn a higher rate, the gain (the interest rate differencial) will be offset by the expected loss due to foreign exchange rate changes. The relationship is stated as:
  • Expected rate of change of the exchange rate = Interest-rate differencial.

• Unbiased Forward Rate Theory (UFRT): this holds that the forward exchange rates is the best unbiased estimate of the expected future spot exchange rate.
  • Expected exchange rate = Forward exchange rate.