منابع مشابه
Conditional Currency Hedging and Asset Market Shocks
How investors should hedge the currency risk component of their international stock portfolios is the subject of much debate. In this paper, we add to the existing literature in a number of ways. First, we focus on conditional portfolio and hedging decisions by using a recursive vector autoregression model to identify a shock arising in the money, equity or currency markets. We treat all of the...
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We examine the impact of corporate currency hedging on economic stability by introducing hedging activity in a Mundell-Fleming-Tobin framework for analyzing currency and financial crises. The ratio between hedged and unhedged firms is modelled depending on firm size as well as hedging costs. The results indicate that, with an increasing fraction of hedged firms in an economy, the magnitude of a...
متن کاملOptimal Currency Hedging
This paper characterizes optimal currency hedging in several models of downside risk. We consider, in turn, three models of hedging: (i) a firm that chooses its hedging policy in the presence of bankruptcy costs; (ii) an all equity firm that faces a convex tax schedule; and (iii) a firm whose manager is subject to loss aversion. In all these models, and contrary to conventional wisdom, we show ...
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Garber and Spencer have argued that dynamic hedging may lead to perverse results when interest rates are used to defend an exchange rate. This paper shows that interest rate changes have little effects on dynamic hedgers when volatility is high.
متن کاملCurrency Hedging by Multinationals Under Financial Crisis
Hedging is no longer an option for multinational corporations, especially during global financial crisis. This was clearly manifested in companies’ comprehensive income statement as in WalMart’s case that “During fiscal 2009, foreign currency exchange rate had a $2.3 billion unfavorable impact on the international segment’s net sales” and the company just lost $680 million in the second quarter...
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ژورنال
عنوان ژورنال: Financial Management
سال: 2019
ISSN: 0046-3892,1755-053X
DOI: 10.1111/fima.12287