File Download
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1093/oep/53.2.281
- Scopus: eid_2-s2.0-0035044740
- WOS: WOS:000168267300006
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Hedging and nonlinear risk exposure
Title | Hedging and nonlinear risk exposure |
---|---|
Authors | |
Issue Date | 2001 |
Publisher | Oxford University Press. The Journal's web site is located at http://oep.oxfordjournals.org/ |
Citation | Oxford Economic Papers, 2001, v. 53 n. 2, p. 281-296 How to Cite? |
Abstract | This paper documents some empirical evidence of nonlinear spot-futures exchange rates relationships and develops an expected utility model of an exporting firm to examine the associated economic implications. The model shows that the firm should export more (less) and adopt an over (under) hedge in an unbiased currency futures market if the spot-futures exchange rates relationship is convex (concave) rather than linear. When fairly priced currency options on futures are available, the firm should use them in conjunction with the currency futures so as to achieve better hedging against its nonlinear exchange rate risk exposure. This provides a rationale for the hedging role of options when the underlying uncertainty is nonlinear in nature. |
Persistent Identifier | http://hdl.handle.net/10722/85678 |
ISSN | 2023 Impact Factor: 1.0 2023 SCImago Journal Rankings: 0.654 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Broll, U | en_HK |
dc.contributor.author | Chow, KW | en_HK |
dc.contributor.author | Wong, Kp | en_HK |
dc.date.accessioned | 2010-09-06T09:07:56Z | - |
dc.date.available | 2010-09-06T09:07:56Z | - |
dc.date.issued | 2001 | en_HK |
dc.identifier.citation | Oxford Economic Papers, 2001, v. 53 n. 2, p. 281-296 | en_HK |
dc.identifier.issn | 0030-7653 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/85678 | - |
dc.description.abstract | This paper documents some empirical evidence of nonlinear spot-futures exchange rates relationships and develops an expected utility model of an exporting firm to examine the associated economic implications. The model shows that the firm should export more (less) and adopt an over (under) hedge in an unbiased currency futures market if the spot-futures exchange rates relationship is convex (concave) rather than linear. When fairly priced currency options on futures are available, the firm should use them in conjunction with the currency futures so as to achieve better hedging against its nonlinear exchange rate risk exposure. This provides a rationale for the hedging role of options when the underlying uncertainty is nonlinear in nature. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Oxford University Press. The Journal's web site is located at http://oep.oxfordjournals.org/ | en_HK |
dc.relation.ispartof | Oxford Economic Papers | en_HK |
dc.rights | Oxford Economic Papers. Copyright © Oxford University Press. | en_HK |
dc.title | Hedging and nonlinear risk exposure | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0030-7653&volume=53&spage=281&epage=296&date=2001&atitle=Hedging+and+Nonlinear+Risk+Exposure | 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 | 10.1093/oep/53.2.281 | - |
dc.identifier.scopus | eid_2-s2.0-0035044740 | en_HK |
dc.identifier.hkuros | 59044 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0035044740&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 53 | en_HK |
dc.identifier.issue | 2 | en_HK |
dc.identifier.spage | 281 | en_HK |
dc.identifier.epage | 296 | en_HK |
dc.identifier.isi | WOS:000168267300006 | - |
dc.publisher.place | United Kingdom | en_HK |
dc.identifier.scopusauthorid | Broll, U=7004024398 | en_HK |
dc.identifier.scopusauthorid | Chow, KW=7202180874 | en_HK |
dc.identifier.scopusauthorid | Wong, Kp=7404759417 | en_HK |
dc.identifier.issnl | 0030-7653 | - |