Template-Type: ReDIF-Article 1.0

Author-Name: Anna Boldizsár
Author-Workplace-Name: Magyar Nemzeti Bank
Author-Email: boldizsara@mnb.hu

Author-Name: Zalán Kocsis
Author-Workplace-Name: Magyar Nemzeti Bank
Author-Email: kocsisz@mnb.hu
Author-Person: pko500

Author-Name: Zsuzsa Nagy-Kékesi
Author-Workplace-Name: Magyar Nemzeti Bank
Author-Email: kekesizsu@mnb.hu
Author-Person: pkk10

Author-Name: Gábor Sztanó
Author-Workplace-Name: Magyar Nemzeti Bank
Author-Email: sztanog@mnb.hu


Title: FX Forward Market in Hungary: General Characteristics and Impact of the COVID Crisis

Abstract: Our study investigates the basic characteristics, structure and time trends of the
Hungarian FX forward market. We demonstrate that, in addition to non-financial
firms active in international trade, mutual funds have become key actors in this
market. Hedging and speculative motives – based on expectations of EURHUF
stability – can be identified in the trading of both sectors. Non-financials are
however more sensitive to exchange rate changes than financial actors. Crises, such
as the global financial turbulence experienced in March 2020 due to the spread of
the coronavirus, are characterised by a decline in speculative trading. During the
depreciation of the forint together with regional currencies at the end of March, nonfinancial
firms did not increase their net long HUF forward positions, while mutual
funds increased their short HUF positions due to precautionary considerations, the
depreciation of international assets and liquidity shocks (redemption of mutual fund
shares, increasing margin call funding requirements).

Classification-JEL: C32, D84, F31, G32
Keywords: FX forward market, exchange rate exposure, mutual funds, time-varying parameter model, COVID crisis
Pages: 5-51
Volume: 19
Issue: 3
Year: 2020
File-URL: https://en-hitelintezetiszemle.mnb.hu/letoltes/fer-19-3-st1-boldizsar-kocsis-nagy-kekesi-sztano.pdf
File-Format: Application/pdf
Handle: RePEc:mnb:finrev:v:19:y:2020:i:3:p:5-51