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Currency Hedging for International Portfolios
Schmittmann, Jochen M. - 2010
This paper examines the benefits from hedging the currency exposure of international investments in single- and multi … 2009, hedging of currency risk substantially reduced the volatility of foreign investments at a quarterly investment … hedging for risk reduction purposes remained strong.In addition to its impact on risk, hedging affected returns in …
Persistent link: https://www.econbiz.de/10014402714
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Cross-border currency exposures : new evidence based on an enhanced and updated dataset
Juvenal, Luciana; Gautam, Deepali; Bénétrix, Agustín; … - 2019
This paper provides a dataset on the currency composition of the international investment position for a group of 50 countries for the period 1990-2017. It improves available data based on estimates by incorporating actual data reported by statistical authorities and refining estimation methods....
Persistent link: https://www.econbiz.de/10012155206
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The Prudential Regulation and Management of Foreign Exchange Risk
Abrams, Richard K. - 1998
This paper examines issues in the prudential management and regulation of foreign exchange risk. It begins with measurement issues, notably converting foreign currency items into domestic currency terms, and calculating foreign exchange positions. The focus then shifts to managing foreign...
Persistent link: https://www.econbiz.de/10014400774
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Exchange Rate Risk Measurement and Management : Issues and Approaches for Firms
Papaioannou, Michael G. - 2006
passive versus active hedging. In addition, it outlines a set of widely accepted best practices in managing currency risk and … presents some of the main hedging instruments in the OTC and exchange-traded markets. The paper also provides some data on the … use of financial derivatives instruments, and hedging practices by U.S. firms …
Persistent link: https://www.econbiz.de/10014400190
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The relative effectiveness of spot and derivatives based intervention : the case of Brazil
Nedeljkovic, Milan; Saborowski, Christian - 2016
This paper studies the relative effectiveness of foreign exchange intervention in spot and derivatives markets. We make use of Brazilian data where spot and non-deliverable futures based intervention have been used in tandem for more than a decade. The analysis finds evidence in favor of a...
Persistent link: https://www.econbiz.de/10011716461
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How do exchange rate regimes affect firms’ incentives to hedge currency risk? : micro evidence for Latin America
Kamil, Herman - 2012
Persistent link: https://www.econbiz.de/10009572433
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Discriminatory pricing of over-the-counter derivatives
Hau, Harald; Hoffmann, Peter; Langfield, Sam; Timmer, … - 2019
New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than 0.02%. Consistent with models of search...
Persistent link: https://www.econbiz.de/10012021832
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International Risk Sharing : Through Equity Diversification or Exchange Rate Hedging?
Matsumoto, Akito - 2009
Well-known empirical puzzles in international macroeconomics concern the large divergence of equilibrium outcomes for consumption across countries from the predictions of models with full risk sharing. It is commonly believed that these risk-sharing puzzles are related to another empirical...
Persistent link: https://www.econbiz.de/10014404288
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Hedging Foreign Exchange Risk in Chile : Markets and Instruments
Chan-Lau, Jorge A. - 2005
Policy makers have expressed interest in fostering the development of local foreign exchange derivatives markets with a view to reducing risks arising from currency mismatches between assets and liabilities in the corporate sector. This paper assesses foreign exchange exposure in the corporate...
Persistent link: https://www.econbiz.de/10014401031
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How Do Exchange Rate Regimes Affect Firms' Incentives to Hedge Currency Risk? : Micro Evidence for Latin America
Kamil, Herman - 2012
Using a unique dataset with information on the currency composition of firms'' assets and liabilities in six Latin-American countries, I investigate how the choice of exchange rate regime affects firms'' foreign currency borrowing decisions and the associated currency mismatches in their balance...
Persistent link: https://www.econbiz.de/10014396931