Granger-causality between speculative and hedging ratios and volatility but also assesses their interactions through variance …

This paper examines the optimal production, export allocation and hedging decisions of a risk-averse international firm … each currency. Then, both production and export allocation are separable. Hedging with forward contracts depends on risk … exchange rate risk plus noise, there is a conflict between cross hedging and taking a basis risk. If, alternatively, the …

. Under fairly priced currency futures and options, full hedging with both instruments is optimal. Introducing fairly …

We examine the impact of corporate currency hedging on economic stability by introducing hedging activity in a Mundell … size as well as hedging costs. The results indicate that, with an increasing fraction of hedged firms in an economy, the … magnitude of a crisis decreases and from a specific hedging level onwards currency crises are ruled out. In order to improve …

This paper compares the pricing and hedging performance of the LMM model against two spot-rate models, namely Hull … contrast to previous studies in the literature, our emphasis here is on ALM and we use hedging performance on Bermudan … stable and their pricing errors are small and comparable. No single model dominates in the pricing exercise. The hedging …