Arbeitspapier
Hedging of exchange rate risk and regression dependence
The paper presents a model of a risk-averse exporting firm under exchange rate risk. We focus on the economic implications of basis risk. It is shown that the regression dependence assumptions between spot and futures exchange rates are essential in analyzing optimal hedging and export decisions. When the spot exchange rate and the futures exchange rate are imperfectly correlated we show that the firm adopts an over hedge when the exchange rate risk exposure is convex and an under hedge when the risk exposure is concave given the unbiasedness of the currency futures market.
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionsbeiträge - Serie II ; No. 355
- Klassifikation
-
Wirtschaft
International Investment; Long-term Capital Movements
Foreign Exchange
- Thema
-
exchange rate risk
hedging
regression dependence
Währungsmanagement
Hedging
Außenhandelssektor
Devisenmarkt
Währungsderivat
Regression
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Broll, Udo
Wong, Kit-Pong
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft
- (wo)
-
Konstanz
- (wann)
-
1997
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Broll, Udo
- Wong, Kit-Pong
- Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft
Entstanden
- 1997
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