Discrete exchange rate hedging strategies
Article Abstract:
Five alternative hedging strategies are examined in terms of their impact on the variance of the terminal value of the firm. These strategies are unchanged location and unhedged cash flows; changing location and unhedged cash flows; changing location and hedging of the next period's cash flow; changing location and fixed hedging at the start of period 0; and changing location, fixed hedging of revenues and one period rolling hedge of costs. Findings demonstrate that popular strategies, such as one-period cash flow hedges and long-term fixed hedges, leave companies very vulnerable to currency risk.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1995
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Testing for long horizon UIP using using PP-based exchange rate expectations
Article Abstract:
This paper supplements the subject of uncovered interest parity relation focusing on long instead of short-term interest rates and employs exchange rate expectations derived from purchasing power parity.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001
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Does the Fed beat the foreign-exchange market?
Article Abstract:
An estimate and test of Fed intervention profits is adjusted for foreign-exchange risk.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2000
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