essential in analyzing optimal hedging and export decisions. When the spot exchange rate and the futures exchange rate are …

; hedging ; cointegrated VAR model …

domestic portfolio. We propose modeling the currency hedging strategy as a function of characteristics proxying for expected … hedging. Proxies for risk, such as volatility, skewness, beta on volatility, and equity sensitivity are irrelevant in our …

currency hedging strategies, for a series of 7 models,using Bayesian inference and decision analysis. The models differ in the … comparethe hedging decisions and financial returns and utilities as they result from the modellingassumptions and the attitudes …

, many investors consider implementing currency-hedging programs to reduce or eliminate the volatility that results from … foreign currency exposures. This paper examines the prospect of hedging currency risk, evaluating the different methods used … costs of hedging developed market and emerging market currency exposures.Meketa Investment Group recommends investors …

We consider an exporting firm facing FX risk. We show that FX options are not used for hedging, if there is no ex …-post production flexibility. Hence, in the standard setting of having no ex-post optionality, hedging with forwards is the best choice ….The value of FX options for hedging arises as soon as there are real options for the exporter like determination of the …

This paper examines the production, export and risk management decisions of a risk-averse competitive firm under … exchange rate risk. The firm is export flexible in allocating its output to either the domestic market or a foreign market … after observing the exchange rate. Export flexibility is restricted by certain minimum sales requirements that are due to …

-movement of export and import related exchange rates. I find that operational hedging requires firms to intentionally choose … move together. Appreciations of the domestic currency, raising foreign currency export prices, then also reduce marginal … export and import regions with comoving currencies. Analyzing the locational choice of firms confirms that the co-movement of …

This paper examines the optimal production, export allocation and hedging decisions of a risk-averse international firm … each currency. Then, both production and export allocation are separable. Hedging with forward contracts depends on risk … decisions are analyzed under two scenarios. In the first, there is a forward market for one currency only. Then, the export …

-movement of export and import related exchange rates. I find that operational hedging requires firms to intentionally choose … move together. Appreciations of the domestic currency, raising foreign currency export prices, then also reduce marginal … export and import regions with comoving currencies. Analyzing the locational choice of firms confirms that the co-movement of …