Showing 1 - 10 of 3,309
-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 …
Persistent link: https://www.econbiz.de/10011568538
The present study has extended the analysis of Dash et al (2008) in comparing the performance of different hedging …. Based on the results of the simulation of this model, the hedging strategies which yielded highest returns and lowest …
Persistent link: https://www.econbiz.de/10013159315
/or individual that has exposure to foreign exchange rate risk will have specific foreign exchange hedging needs; on the other hand …, the effectiveness of different hedging techniques depends on the specific purposes they serve.The present study extends … the analysis of Dash et al. (2008) in comparing the performance of four different Forex hedging strategies, approaching …
Persistent link: https://www.econbiz.de/10013057834
well. The Financial sector and industry shows that derivatives and hedging activity can mitigate exposure to exchange rate …
Persistent link: https://www.econbiz.de/10013049029
require two ingredients (i) a structural demand for dollar immediacy at local currency fixing times; and (ii) pre-fix hedging …
Persistent link: https://www.econbiz.de/10012843762
We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded currencies over 2007 -- 2015 we document the dominating asymmetries in...
Persistent link: https://www.econbiz.de/10012968615
In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors. We find that both categories of risk factors are relevant to understanding and explaining carry return, with an outperformance for volatility ones especially the global FX...
Persistent link: https://www.econbiz.de/10012989965
This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used in the empirical analysis consist of daily observations of implied volatilities for OTC options on the euro, Japanese yen, British pound, Swiss franc, and Canadian dollar,...
Persistent link: https://www.econbiz.de/10013318310
This working paper was written by Ka-Fai L (Hong Kong Monetary Authority), Cho-Hoi Hui (Hong Kong Monetary Authority) and Tsz-Kin Chung (Hong Kong Monetary Authority).Price disparities between the renminbi onshore deliverable forward and offshore non-deliverable forward exchange rates is an...
Persistent link: https://www.econbiz.de/10014238690
This paper presents an empirical analysis of the effectiveness of foreign exchange (FX) intervention in Peru, with emphasis on the intervention carried out through derivative instruments. I use two different but related approaches to estimate the impact of these kind of interventions between...
Persistent link: https://www.econbiz.de/10015053909