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The hedging channel of exchange rate determination
Liao, Gordon; Zhang, Tony - 2020 - This draft: May 2020
Persistent link: https://www.econbiz.de/10012229170
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Restricted Export Flexibility and Risk Management with Options and Futures
Adam-Müller, Axel F. A.; Wong, Kit Pong - 2002
. Under fairly priced currency futures and options, full hedging with both instruments is optimal. Introducing fairly …
Persistent link: https://www.econbiz.de/10010324039
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Restricted export flexibility and risk management with options and futures
Adam-Müller, Axel F. A.; Kit, Pong Wong - 2002
. Under fairly priced currency futures and options, full hedging with both instruments is optimal. Introducing fairly …
Persistent link: https://www.econbiz.de/10011543653
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Alternative currency hedging strategies with known covariances
Chen, Wei; Kritzman, Mark; Turkington, David - In: Journal of investment management : JOIM 13 (2015) 2, pp. 6-24
Persistent link: https://www.econbiz.de/10011635273
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Hedging the exchange rate risk in international portfolio diversification: Currency forwards versus currency options
Maurer, Raimond; Valiani, Shohreh - In: Managerial Finance 33 (2007), pp. 667-692
exposure risk. In this regard, several hedging strategies are evaluated and compared with one another. Design … hedge tools brings a much more diversified selection of stock and bond markets than no hedging strategy. The optimal option … optimal forward hedging. In the out-of-sample study, the optimally forward-hedged strategy generally presents a much better …
Persistent link: https://www.econbiz.de/10010757362
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Why firms in the UK use interest rate derivatives
Adedeji, Abimbola; Baker, Richard - In: Managerial Finance 28 (2002) 11, pp. 53-74
Evidence reported by Geczy, Minton and Schrand (1997) showed that foreign exchange risk had a significant influence on the use of currency derivatives but that interest cover and financial leverage did not. In this study, we suggest that the reason why foreign exchange risk was significant but...
Persistent link: https://www.econbiz.de/10014939653
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Hedging the exchange rate risk in international portfolio diversification
Maurer, Raimond; Valiani, Shohreh - In: Managerial Finance 33 (2007) 9, pp. 667-692
exposure risk. In this regard, several hedging strategies are evaluated and compared with one another. Design … hedge tools brings a much more diversified selection of stock and bond markets than no hedging strategy. The optimal option … optimal forward hedging. In the out‐of‐sample study, the optimally forward‐hedged strategy generally presents a much better …
Persistent link: https://www.econbiz.de/10014939946
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On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective
Hertrich, Markus; Zimmermann, Heinz - 2015
The sheer existence of EUR/CHF put options with strike prices below the EUR/CHF 1.20 floor, trading at non-zero cost, challenged the full credibility of the Swiss National Bank (SNB) in enforcing the lower barrier implemented in September 6, 2011 and abandoned on January 15, 2015. We estimate...
Persistent link: https://www.econbiz.de/10011390718
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How to intervene in foreign exchange market without buying/selling dollars?
Pal, Sumantra - 2018
The Emerging Market Economies are vulnerable to adverse external shocks. Such shocks cause excessive volatility in foreign exchange markets. Faced with high volatility, the central banks in EMEs often end up, in futility, depleting their foreign exchange reserves by selling dollars to restore...
Persistent link: https://www.econbiz.de/10011894427
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Equilibrium Valuation of Currency Options in a Small Open Economy
Cao, Melanie - 1997
The log-normal Garman and Kohlhagen (1983) currency option model usually creates pricing biases when matched with the market prices. The observed price bias pattern is generally consistent with the mixed jump-diffusion distribution for exchange rates. Various studies have provided evidence of...
Persistent link: https://www.econbiz.de/10011940599