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Can Time-Varying Currency Risk Hedging Explain Exchange Rates?
Bräuer, Leonie; Hau, Harald - 2022
bond positions, which creates a net hedging demand for dollar assets that depreciates USD rates in both the forward and … spot markets. We document the time-varying nature of this net hedging demand and show how it relates to economic … FX hedging pressure can account for approximately 30% of all monthly variation in the seven most important dollar …
Persistent link: https://www.econbiz.de/10014236684
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Managing the risks of corporate bond portfolios : new evidence in the light of the sub‐prime crisis
Barone-Adesi, Giovanni; Carcano, Nicola; Dall'O, Hakim - 2012
value of indexlinked credit derivatives is very limited: hedging portfolios including only T-bond futures can reduce the …We consider modeling errors in the hedging of a portfolio composed from BBB-rated bonds. By doing this, we open a new … hedging. This is consistent with the literature identifying an important non-default component within corporate bond spreads …
Persistent link: https://www.econbiz.de/10009558422
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On the strategic value of risk management
Léautier, Thomas-Olivier; Rochet, Jean-Charles - 2013
ranging from manufacturing to energy retailing, where risk averse fi rms decide on their hedging strategies before their … product market strategies. We fi nd that hedging modi es the pricing and production strategies of firms. This strategic effect … shareholders risk aversion. It has diametrically opposed impacts depending on the nature of product market competition: hedging …
Persistent link: https://www.econbiz.de/10009750629
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A corporate financing-based asset pricing model
Steri, Roberto - 2018
I show that an asset pricing model for the equity claims of a value-maximizing firm can be constructed from its optimal financial contracting behavior. I study a dynamic contracting model in which firms trade off the costs and benefits of a given promise to pay external lenders in a specific...
Persistent link: https://www.econbiz.de/10011900221
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An objective function for simulation based inference on exchange rate data
Winker, Peter (contributor); Gilli, Manfred (contributor);  … - 2007
The assessment of models of financial market behavior requires evaluation tools. When complexity hinders a direct estimation approach, e.g., for agent based microsimulation models or complex multifractal models, simulation based estimators might provide an alternative. In order to apply such...
Persistent link: https://www.econbiz.de/10003548061
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International bond risk premia
Dahlquist, Magnus; Hasseltoft, Henrik - 2011
We identify local and global factors across international bond markets that are poorly spanned by the traditional level, slope and curvature factors but have strong forecasting power for future bond excess returns. Local and global factors are jointly significant predictors of bond returns,...
Persistent link: https://www.econbiz.de/10009009483
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Long-run UIP holds even in the short run
Ackermann, Fabian; Pohl, Walter; Schmedders, Karl - 2013
The failure of uncovered interest rate parity to explain short-term interest rate movements is well documented. We show that short-term changes in long-term interest rates do help to explain short-term exchange rate movements. The relationship gets stronger over our sample period, as the...
Persistent link: https://www.econbiz.de/10009751157
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Optimal exchange rate policy in a growing semi-open economy
Bacchetta, Philippe; Benhima, Kenza; Kalantzis, Yannick - 2013
In this paper, we consider an alternative perspective to China's exchange rate policy. We study a semi-open economy where the private sector has no access to international capital markets but the central bank has full access. Moreover, we assume limited financial development generating a large...
Persistent link: https://www.econbiz.de/10010200010
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Integration of sovereign bonds markets : time variation and maturity effects
Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2014
We examine time varying integration of developed (DM) and emerging (EM) market government bonds. Although we find an upward trend for most countries and maturity bands, we do observe reversals and negative trends among both DMs and EMs and for some maturities during the financial crisis. We...
Persistent link: https://www.econbiz.de/10010413280
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On the risk and return of the carry trade
Ackermann, Fabian; Pohl, Walter; Schmedders, Karl - 2012
DeMiguel, Garlappi, and Uppal (Review of Financial Studies, 22 (2009), 1915-1953) showed that in the stock market, it is difficult for an optimized portfolio constructed using mean-variance analysis to outperform a simple equally-weighted portfolio because of estimation error. In this paper, we...
Persistent link: https://www.econbiz.de/10009684278