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Internationally Diversified Bond Portfolios : The Merits of Active Currency Risk Management
Levich, Richard M. - 2008
A new statistical procedure is used to test for weak form efficiency in the foreign exchange futures markets. Using daily currency futures prices for the 1976-1990 period, we conclude that successive exchange rate changes have not been independent We examine the implications of this finding for...
Persistent link: https://www.econbiz.de/10012774847
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The Effects of Industry Structure on Economic Exposure
Marston, Richard C. - 2021
in foreign currency. So the firm's hedging strategy is simple: sell foreign currency futures equal to the value of its … and its marginal cost in order to assess its exposure to exchange rates. So its hedging strategy also requires detailed …
Persistent link: https://www.econbiz.de/10013249362
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Why Has the Yen Failed to Become a Dominant Invoicing Currency in Asia? A Firm-Level Analysis of Japanese Exporters' Invoicing Behavior
Ito, Takatoshi - 2010
It has been a well-known puzzle why the yen has not been used more in trade invoicing among Japanese exporters. Despite the yen's status as an only fully convertible currency in Asia, two patterns stand out as puzzling features of an excessively small share of yen invoicing: First, a strong...
Persistent link: https://www.econbiz.de/10013139736
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FX Counterparty Risk and Trading Activity in Currency Forward and Futures Markets
Levich, Richard M. - 2012
The Global Financial Crisis initiated a period of market turbulence and increased counterparty risk for financial institutions. Even though the Dodd-Frank Act is likely to exempt interbank foreign exchange trading from a central counterparty mandate, market participants have the option to trade...
Persistent link: https://www.econbiz.de/10013103054
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Currency Hedging Over Long Horizons
Froot, Kenneth - 2001
, but not at long horizons. At horizons of several years, complete hedging not only does not lower return variance, it … apparent causes, and investigates their implications for hedging practice …
Persistent link: https://www.econbiz.de/10012787885
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Currency Hedging and Goods Trade
Wei, Shang-Jin - 2021
volatility on international trade. A common explanation is the availability of hedging instruments. This paper examines the … empirical validity of this explanation using data on over 1,000 country pairs. Which countries have currency hedging instruments …. There are two main findings. First, there is no evidence in the data to support the validity of the hedging hypothesis …
Persistent link: https://www.econbiz.de/10013224933
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The Influence of Actual and Unrequited Interventions
Dominguez, Kathryn M.E. - 2007
Intervention operations are used by governments to manage their exchange rates but officials rarely confirm their presence in the market, leading inevitably to erroneous reports in the financial press. There are also reports of what we term, unrequited interventions, interventions that the...
Persistent link: https://www.econbiz.de/10012777395
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Foreign Currency for Long-Term Investors
Campbell, John Y. - 2002
Conventional wisdom holds that conservative investors should avoid exposure to foreign currency risk. Even if they hold foreign equities, they should hedge the currency exposure of these positions and should hold only domestic Treasury bills. This paper argues that the conventional wisdom may be...
Persistent link: https://www.econbiz.de/10012787148
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Derivatives Usage in Risk Management by Us and German Non-Financial Firms : a Comparative Survey
Bodnar, Gordon M. - 2001
contrast to the similarities, firms in the two countries differ notably on issues such as the primary goal of hedging, their …
Persistent link: https://www.econbiz.de/10012788332
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On the Rand : Determinants of the South African Exchange Rate
Frankel, Jeffrey A. - 2010
This paper is an econometric investigation of the determinants of the real value of the South African rand over the period 1984-2006. The results show a relatively good fit. As so often with exchange rate equations, there is substantial weight on the lagged exchange rate, which can be attributed...
Persistent link: https://www.econbiz.de/10012760118