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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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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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Central Bank Participation in Currency Options Markets
Breuer, Peter - 1999
market makers dynamically hedging their long option exposure in a stabilizing manner, consistent with the first objective …
Persistent link: https://www.econbiz.de/10014400649
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Foreign Exchange Hedging with Synthetic Options and the Interest Rate Defense of a Fixed Exchange Rate Regime
Garber, Peter M. - 1994
The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and...
Persistent link: https://www.econbiz.de/10014395986
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Establishing a foreign exchange futures market in China
Jin, Zhongxia; Zhao, Yue; Wang, Haobin - 2021
(FX) derivatives markets to meet the growing hedging needs associated with greater exchange rate fluctuations. Although … the hedging needs of small and medium-sized enterprises and enhance regulatory efficiency. To address concerns regarding …
Persistent link: https://www.econbiz.de/10012796195
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How does the Repo market behave under stress? : evidence from the COVID-19 crisis
Hüser, Anne-Caroline; Lepore, Caterina; Veraart, Luitgard - 2021
We examine how the repo market operates during liquidity stress by applying network analysis to novel transaction-level data of the overnight gilt repo market including the COVID-19 crisis. During this crisis, the repo network becomes more connected, with most institutions relying on existing...
Persistent link: https://www.econbiz.de/10012796211
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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 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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Covered interest parity deviations : macrofinancial determinants
Cerutti, Eugenio M.; Obstfeld, Maurice; Zhou, Haonan - 2019
For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely-even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential...
Persistent link: https://www.econbiz.de/10012001567
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Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk
Christoffersen, Peter F. - 1999
When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the conditional variance of expected profits from the...
Persistent link: https://www.econbiz.de/10014400299