The Currency Hedging Debate PDF Download
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| Author | : Lee R. Thomas |
| Publisher | : Ifr Publishing |
| Total Pages | : 364 |
| Release | : 1990 |
| Genre | : Business & Economics |
| ISBN | : |
Download The Currency Hedging Debate Book in PDF, ePub and Kindle
This title provides a forum for the discussion surrounding the use of currency hedging for portfolio managment and examines the arguments for the different hedging techniques. The main arguments are outlined with contributions from both academics and practitioners. The evidence on the performance of various funds is examined in detail.
| Author | : Jochen M. Schmittmann |
| Publisher | : International Monetary Fund |
| Total Pages | : 47 |
| Release | : 2010-06-01 |
| Genre | : Business & Economics |
| ISBN | : 1455200557 |
Download Currency Hedging for International Portfolios Book in PDF, ePub and Kindle
This paper examines the benefits from hedging the currency exposure of international investments in single- and multi-country equity and bond portfolios from the perspectives of German, Japanese, British and American investors. Over the period 1975 to 2009, hedging of currency risk substantially reduced the volatility of foreign investments at a quarterly investment horizon. Contrary to previous studies, the paper finds that at longer investment horizons of up to five years the case for hedging for risk reduction purposes remained strong.In addition to its impact on risk, hedging affected returns in economically meaningful magnitudes in some cases.
| Author | : Mr.Jack Ree |
| Publisher | : International Monetary Fund |
| Total Pages | : 29 |
| Release | : 2012-11-07 |
| Genre | : Business & Economics |
| ISBN | : 1475565178 |
Download FX Funding Risks and Exchange Rate Volatility–Korea’s Case Book in PDF, ePub and Kindle
This paper examines how exchange rate volatility and Korean banks’ foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes after the crisis, including decreasing demand for currency hedges and the diversifying investor base for bonds, point to a possible weakening of the interaction mechanism; and we find evidences are strongly supportive of this.
| Author | : Hau Harald |
| Publisher | : International Monetary Fund |
| Total Pages | : 45 |
| Release | : 2019-05-07 |
| Genre | : Business & Economics |
| ISBN | : 1498303773 |
Download Discriminatory Pricing of Over-the-Counter Derivatives Book in PDF, ePub and Kindle
New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than 0.02%. Consistent with models of search frictions in over-the-counter markets, dealers charge higher spreads to less sophisticated clients. However, price discrimination is eliminated when clients trade through multi-dealer request-for-quote platforms. We also document that dealers extract rents from captive clients and market opacity, but only for contracts negotiated bilaterally with unsophisticated clients.
| Author | : Kenneth Froot |
| Publisher | : |
| Total Pages | : 52 |
| Release | : 1993 |
| Genre | : Financial futures |
| ISBN | : |
Download Currency Hedging Over Long Horizons Book in PDF, ePub and Kindle
This paper reexamines the widely-held wisdom that the currency exposure of international investments should be entirely hedged. It finds that the previously documented ability of hedges to reduce portfolio return variance holds at short horizons, but not at long horizons. At horizons of several years, complete hedging not only does not lower return variance, it actually increases the return variance of many portfolios. Hedge ratios chosen to minimize long-run return variance are not only low, they also have no perceptible impact on return variance. The paper reports and explores these results, their apparent causes, and investigates their implications for hedging practice.
| Author | : Momtchil Pojarliev |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : 9781944960582 |
Download Some Like It Hedged Book in PDF, ePub and Kindle
| Author | : Mr.Dennis P. J. Botman |
| Publisher | : International Monetary Fund |
| Total Pages | : 21 |
| Release | : 2013-11-06 |
| Genre | : Business & Economics |
| ISBN | : 1475513429 |
Download The Curious Case of the Yen as a Safe Haven Currency Book in PDF, ePub and Kindle
During risk-off episodes, the yen is a safe haven currency and on average appreciates against the U.S. dollar. We investigate the proximate causes of yen risk-off appreciations. We find that neither capital inflows nor expectations of the future monetary policy stance can explain the yen’s safe haven behavior. In contrast, we find evidence that changes in market participants’ risk perceptions trigger derivatives trading, which in turn lead to changes in the spot exchange rate without capital flows. Specifically, we find that risk-off episodes coincide with forward hedging and reduced net short positions or a buildup of net long positions in yen. These empirical findings suggest that offshore and complex financial transactions should be part of spillover analyses and that the effectiveness of capital flow management measures or monetary policy coordination to address excessive exchange rate volatility might be limited in certain cases.
| Author | : Callum Henderson |
| Publisher | : John Wiley & Sons |
| Total Pages | : 264 |
| Release | : 2006-05-01 |
| Genre | : Business & Economics |
| ISBN | : 0470029730 |
Download Currency Strategy Book in PDF, ePub and Kindle
Currency Strategy, Second Edition develops new techniques and explains classic tools available for predicting, managing, and optimizing fluctuations in the currency markets. Author Callum Henderson shows readers ho to use mathematical models to assist in the prediction of crises and gives practical advice on how to use these and other tools successfully. Given there such huge focus on China at the moment, the timing of this new edition is particularly important. The new edition will feature a thorough update on the key developments in the past 3 years, new chapters on emerging markets, an in-depth review of the markets of China and India and their currencies and much more.
| Author | : Camila Casas |
| Publisher | : International Monetary Fund |
| Total Pages | : 62 |
| Release | : 2017-11-22 |
| Genre | : Business & Economics |
| ISBN | : 1484330609 |
Download Dominant Currency Paradigm: A New Model for Small Open Economies Book in PDF, ePub and Kindle
Most trade is invoiced in very few currencies. Despite this, the Mundell-Fleming benchmark and its variants focus on pricing in the producer’s currency or in local currency. We model instead a ‘dominant currency paradigm’ for small open economies characterized by three features: pricing in a dominant currency; pricing complementarities, and imported input use in production. Under this paradigm: (a) the terms-of-trade is stable; (b) dominant currency exchange rate pass-through into export and import prices is high regardless of destination or origin of goods; (c) exchange rate pass-through of non-dominant currencies is small; (d) expenditure switching occurs mostly via imports, driven by the dollar exchange rate while exports respond weakly, if at all; (e) strengthening of the dominant currency relative to non-dominant ones can negatively impact global trade; (f) optimal monetary policy targets deviations from the law of one price arising from dominant currency fluctuations, in addition to the inflation and output gap. Using data from Colombia we document strong support for the dominant currency paradigm.
| Author | : Frank J. Fabozzi, CFA |
| Publisher | : John Wiley & Sons |
| Total Pages | : 300 |
| Release | : 1998-02-15 |
| Genre | : Business & Economics |
| ISBN | : 9781883249311 |
Download Perspectives on International Fixed Income Investing Book in PDF, ePub and Kindle
U.S. investors are pouring billions of dollars into the international fixed income markets. In Perspectives on International Fixed Income Investing, an international cast of experts discusses proven strategies for investing successfully in these challenging markets. Topics addressed include assessing credit risk, managing currency volatility, understanding local markets, and maximizing yields.
