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- Publisher Website: 10.1002/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A
- Scopus: eid_2-s2.0-0005177178
- WOS: WOS:000084024100001
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Article: Hedging with mismatched currencies
Title | Hedging with mismatched currencies |
---|---|
Authors | |
Issue Date | 1999 |
Publisher | John Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/ |
Citation | Journal Of Futures Markets, 1999, v. 19 n. 8, p. 859-875 How to Cite? |
Abstract | This article presents a model of a risk-averse multinational firm facing risk exposure to a foreign currency cash flow. Forward markets do not exist between the firm's own currency and the foreign currency, but do exist for a third currency. Because a triangular parity condition holds among these three currencies, the available forward markets, albeit incomplete, provide a useful avenue for the firm to indirectly hedge against its foreign exchange rate risk exposure. This article offers analytical insights into the optimal cross-hedging strategies of the firm. In particular, the results show that separate unbiasedness of the forward markets does not necessarily imply a perfect full hedge that eliminates the entire foreign exchange rate risk exposure of the firm. The optimal cross-hedging strategies depend largely on the firm's marginal utility function and on the correlation of the random spot exchange rates. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 859-875, 1999. |
Persistent Identifier | http://hdl.handle.net/10722/85644 |
ISSN | 2023 Impact Factor: 1.8 2023 SCImago Journal Rankings: 0.672 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Broll, U | en_HK |
dc.contributor.author | Wong, KP | en_HK |
dc.date.accessioned | 2010-09-06T09:07:32Z | - |
dc.date.available | 2010-09-06T09:07:32Z | - |
dc.date.issued | 1999 | en_HK |
dc.identifier.citation | Journal Of Futures Markets, 1999, v. 19 n. 8, p. 859-875 | en_HK |
dc.identifier.issn | 0270-7314 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/85644 | - |
dc.description.abstract | This article presents a model of a risk-averse multinational firm facing risk exposure to a foreign currency cash flow. Forward markets do not exist between the firm's own currency and the foreign currency, but do exist for a third currency. Because a triangular parity condition holds among these three currencies, the available forward markets, albeit incomplete, provide a useful avenue for the firm to indirectly hedge against its foreign exchange rate risk exposure. This article offers analytical insights into the optimal cross-hedging strategies of the firm. In particular, the results show that separate unbiasedness of the forward markets does not necessarily imply a perfect full hedge that eliminates the entire foreign exchange rate risk exposure of the firm. The optimal cross-hedging strategies depend largely on the firm's marginal utility function and on the correlation of the random spot exchange rates. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 859-875, 1999. | en_HK |
dc.language | eng | en_HK |
dc.publisher | John Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/ | en_HK |
dc.relation.ispartof | Journal of Futures Markets | en_HK |
dc.rights | The Journal of Futures Markets. Copyright © John Wiley & Sons, Inc. | en_HK |
dc.title | Hedging with mismatched currencies | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0270-7314&volume=19&spage=859&epage=875&date=1999&atitle=Hedging+with+Mismatched+Currencies | en_HK |
dc.identifier.email | Wong, KP: kpwongc@hkucc.hku.hk | en_HK |
dc.identifier.authority | Wong, KP=rp01112 | en_HK |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1002/(SICI)1096-9934(199912)19:8<859::AID-FUT1>3.0.CO;2-A | - |
dc.identifier.scopus | eid_2-s2.0-0005177178 | en_HK |
dc.identifier.hkuros | 52573 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0005177178&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 19 | en_HK |
dc.identifier.issue | 8 | en_HK |
dc.identifier.spage | 859 | en_HK |
dc.identifier.epage | 875 | en_HK |
dc.identifier.isi | WOS:000084024100001 | - |
dc.publisher.place | United States | en_HK |
dc.identifier.scopusauthorid | Broll, U=7004024398 | en_HK |
dc.identifier.scopusauthorid | Wong, KP=7404759417 | en_HK |
dc.identifier.issnl | 0270-7314 | - |