00000cab a22000004cb4500 IPP-00000187361 IPP 20160909101305.0 160909s2015 xx d | ||r |||||eng|| eng Roxas, Arniel E. Hedging against foreign exchange risk of peso-dollar rates using futures contracts with different maturities 2015 Currency trading is the act of buying or selling a currency in exchange or another currency. It involves risk due to the fluctuations of the exchange rates. The said risk can be minimized through hedging using financial instruments such as futures. A futures is an agreement to but or sell an underlying asset by a certain date in the future for a certain price. In this study, currency futures contracts with different maturities were used as a hedging technique to minimize the risk associated with the fluctuations of the peso-dollar exchange rates. The Philippine treasury bill (T-bill) rates were used as a domestic risk-free interest rates while the United States (US) T-bill rates were used as the foreign risk-free interest rates for the futures contracts. The monthly interest rates from October 2013 to December 2013 were forecasted using the Nelson-Siegel (NS) model. The peso-dollar exchange rates were used as models. The daily spot prices from October 2013-December 2013 were forecasted using ARIMA (2,1,1) model, and the results ranged from PhP 43.3272. The daily futures prices were then calculated. finally, the daily minimum variance hedge ratios (MVHRs), as well as the hedging effectiveness (HE) coefficients, of the futures contracts from October 2013-December 2013 were determined. The MVHRs were all close to 1.00 indicating that the investors should really enter a futures contract. Local exchange trading systems Foreign exchange rates Currency substitution Financial futures -Philippines Hedging (Finance) Mamplata, Jonathan B. UP Los Baños Journal Vol. XIII (Jan. 2015 - Dec. 2015), 81-97 Article FI