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Journal articles on the topic 'Currency hedging'

Author: Grafiati

Published: 4 June 2021

Last updated: 19 February 2022

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1

MacIsaac, Keith Joseph. "Global Currency Hedging." CFA Digest 40, no. 2 (May 2010): 68–70. http://dx.doi.org/10.2469/dig.v40.n2.17.

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2

Bucher, Melk C. "Conditional currency hedging." Financial Management 49, no. 4 (September 29, 2019): 897–923. http://dx.doi.org/10.1111/fima.12287.

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3

Dales, A., and R. Meese. "Strategic currency hedging." Journal of Asset Management 2, no. 1 (June 2001): 9–21. http://dx.doi.org/10.1057/palgrave.jam.2240031.

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4

CAMPBELL, JOHN Y., KARINE SERFATY-DE MEDEIROS, and LUIS M. VICEIRA. "Global Currency Hedging." Journal of Finance 65, no. 1 (January 13, 2010): 87–121. http://dx.doi.org/10.1111/j.1540-6261.2009.01524.x.

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5

Albuquerque, Rui. "Optimal currency hedging." Global Finance Journal 18, no. 1 (January 2007): 16–33. http://dx.doi.org/10.1016/j.gfj.2006.09.002.

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6

Rahman, Aisyah Abdul, and Raudha Md Ramli. "Islamic Cross Currency Swap (ICCS): hedging against currency fluctuations." Emerald Emerging Markets Case Studies 5, no. 4 (July 14, 2015): 1–12. http://dx.doi.org/10.1108/eemcs-09-2014-0215.

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Subject areaThe case is suitable for use in the topics related to the functions and roles of hedging and the Islamic derivatives/hedging instruments.Study level/applicabilityThe case is designed for undergraduate students, taking courses in Islamic Banking, Islamic Finance and Risk Management for Islamic Banking Institutions.Case overviewThis case describes the theory and application of Islamic Cross Currency Swap (ICCS) in the market. Having this understanding enables case analysts to understand the functions and roles of hedging and the Islamic derivatives or hedging instruments of ICCS comp

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7

Terry, Eric. "Indirect Currency Futures Hedging." Journal of Business and Policy Research 11, no. 1 (July 2016): 1–15. http://dx.doi.org/10.21102/jbpr.2016.07.111.01.

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8

Gagnon, Louis, Gregory J. Lypny, and Thomas H. McCurdy. "Hedging foreign currency portfolios." Journal of Empirical Finance 5, no. 3 (September 1998): 197–220. http://dx.doi.org/10.1016/s0927-5398(97)00018-2.

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9

Lioui, Abraham, and Patrice Poncet. "Optimal currency risk hedging." Journal of International Money and Finance 21, no. 2 (April 2002): 241–64. http://dx.doi.org/10.1016/s0261-5606(01)00045-6.

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10

Yu, Xing, Yanyin Li, and Zhongkai Wan. "Dynamic Currency Futures and Options Hedging Model." Mathematical Problems in Engineering 2019 (July 1, 2019): 1–11. http://dx.doi.org/10.1155/2019/8074384.

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In this paper, we consider a risk averse competitive firm that adopts currency futures and options for hedging purpose. Based on the assumption of unbiased markets of currency futures and options, we propose the optimal hedging model in dynamic setting. By using two-stage optimization method, we prove that it is desirable for the prudent enterprise to buy exchange rate options to hedge currency risk. Furthermore, we derive the closed-form solutions of the multiperiod hedging problem with the quadratic utility function. We investigate an empirical study incorporated into GARCH-t prediction on t

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11

Indawan, Fiskara, Sri Fitriani, Indriani Karlina, and Melva Viva Grace. "THE ROLE OF CURRENCY HEDGING ON FIRM PERFORMANCE: A PANEL DATA EVIDENCE IN INDONESIA." Buletin Ekonomi Moneter dan Perbankan 17, no. 3 (March 27, 2015): 279–98. http://dx.doi.org/10.21098/bemp.v17i3.39.

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This paper analyzes the role of currency hedging on non-financial firm’s performance. Most firms on the sample have anticipated the currency mismatch risk by balancing the ratio of foreign debt to their asset fenominated in foreign currency. Using panel estimation, we find that there is no evidence of currency hedging activities to affect capital and performance of firms. The result underlines the low intensity of currency hedging activities due to lack of incentives, which is inline with the low derivative transaction within the underdeveloped foreign currency market. This finding may raise a

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12

Mrunali, Jambotkar. "Volatility Transmission and Hedging Effectiveness in Indian Currency Market." Journal of Advanced Research in Dynamical and Control Systems 12, SP7 (July 25, 2020): 2431–41. http://dx.doi.org/10.5373/jardcs/v12sp7/20202373.

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13

DeMaskey, Andrea L. "Single and Multiple Portfolio Cross-Hedging with Currency Futures." Multinational Finance Journal 1, no. 1 (March 1, 1997): 23–46. http://dx.doi.org/10.17578/1-1-2.

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14

Fitriasari, Fika. "VALUE DRIVERS TERHADAP NILAI PEMEGANG SAHAM PERUSAHAAN YANG HEDGING DI DERIVATIF VALUTA ASING." Manajemen Bisnis 1, no. 1 (January 11, 2013): 88. http://dx.doi.org/10.22219/jmb.v1i1.1325.

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Fakultas Ekonomi Universitas Muhammadiyah MalangE-mail: fika@umm.ac.idABSTRACTThe aim of this research are to understanding and analyzing the effect of value drivers variables(sale growth, operation profit, fixed asset investment, work capital investment, and capital cost) onshareholder value in the company with hedging strategy in foreign currency derivative. Result ofresearch indicates that: value drivers actually are expected to increase the shareholder value incompany with hedging strategy in foreign currency derivative; value drivers actually may increasethe shareholder value in company w

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15

Sorensen, Eric H., Joseph J. Mezrich, and Dilip N. Thadani. "Currency Hedging Through Portfolio Optimization." Journal of Portfolio Management 19, no. 3 (April 30, 1993): 78–85. http://dx.doi.org/10.3905/jpm.1993.409450.

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16

van Inwegen, Greg, John Hee, and Kenneth Yip. "Preference-Based Strategic Currency Hedging." Financial Analysts Journal 59, no. 5 (September 2003): 83–96. http://dx.doi.org/10.2469/faj.v59.n5.2566.

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17

Krueger, Malte. "Dynamic hedging in currency crisis." Economics Letters 62, no. 3 (March 1999): 347–50. http://dx.doi.org/10.1016/s0165-1765(98)00245-6.

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18

GLEN, JACK, and PHILIPPE JORION. "Currency Hedging for International Portfolios." Journal of Finance 48, no. 5 (December 1993): 1865–86. http://dx.doi.org/10.1111/j.1540-6261.1993.tb05131.x.

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19

Wei, Shang-Jin. "Currency hedging and goods trade." European Economic Review 43, no. 7 (June 1999): 1371–94. http://dx.doi.org/10.1016/s0014-2921(98)00126-3.

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20

Schmittmann, Jochen M. "Currency Hedging for International Portfolios." IMF Working Papers 10, no. 151 (2010): 1. http://dx.doi.org/10.5089/9781455201341.001.

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21

Wong, Kit Pong. "Export Flexibility And Currency Hedging*." International Economic Review 44, no. 4 (November 2003): 1295–312. http://dx.doi.org/10.1111/1468-2354.t01-1-00110.

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22

Cho, Jae-Beom, Hong-Ghi Min, and Judith Ann McDonald. "Volatility and dynamic currency hedging." Journal of International Financial Markets, Institutions and Money 64 (January 2020): 101163. http://dx.doi.org/10.1016/j.intfin.2019.101163.

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23

Eaker, Mark R., and Dwight M. Grant. "Cross-hedging foreign currency risk." Journal of International Money and Finance 6, no. 1 (March 1987): 85–105. http://dx.doi.org/10.1016/0261-5606(87)90015-5.

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24

Broll, Udo, Peter Welzel, and Kit Pong Wong. "Export and Strategic Currency Hedging." Open Economies Review 20, no. 5 (March 4, 2008): 717–32. http://dx.doi.org/10.1007/s11079-008-9080-x.

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25

Arruda, Nelson, Alain Bergeron, and Mark Kritzman. "Optimal Currency Hedging: Horizon Matters." Journal of Alternative Investments 23, no. 4 (March 1, 2021): 122–30. http://dx.doi.org/10.3905/jai.2021.1.126.

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26

Chang, Jack S. K., and Latha Shanker. "Hedging effectiveness of currency options and currency futures." Journal of Futures Markets 6, no. 2 (1986): 289–305. http://dx.doi.org/10.1002/fut.3990060210.

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27

Choi, Myoung Shik. "Currency risks hedging for major and minor currencies: constant hedging versus speculative hedging." Applied Economics Letters 17, no. 3 (May 9, 2008): 305–11. http://dx.doi.org/10.1080/13504850701735757.

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28

Choe, Myeong Sig. "An Alternative Futures Hedge for Minor Currencies." Journal of Derivatives and Quantitative Studies 12, no. 1 (May 30, 2004): 87–112. http://dx.doi.org/10.1108/jdqs-01-2004-b0005.

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In a world of trade among nations using different currencies, every exchange of goods, services, or assets taking place between economic actors of different nations requires an accompanying currency transaction. If foreign exchange rates were fixed, this would be little more than a formality and not a potential source of market distortion. In the current world, however, the currency exchange rates are often very volatile and can affect market prices when viewed from outside the economy. Individuals with risk-averse preferences seek to minimize the potential losses possible from their currency

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29

Yun, Won Cheol. "Comparative Analysis on the Hedging Effectiveness Among Domestic Currency Futures Contracts." Journal of Derivatives and Quantitative Studies 15, no. 1 (May 31, 2007): 41–72. http://dx.doi.org/10.1108/jdqs-01-2007-b0002.

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This study empirically compares the hedging performances of the newly listed Japanese yen (JPY) and European euro (EUR) currency futures in the KRX relative to that of the us dollar (USD) currency futures. For this purpose, assuming the situation of foreign-asset investment the minimum variance hedging models based on OLS and ECM are compared with a simple 1: 1 hedge. The difference between previous studies and this one is in that the latter uses various kinds of hedging performance measures and analyzes the hedging performances by different hedging horizon. According to the empirical results,

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30

Solnik, Bruno. "Currency Hedging and Siegel's Paradox: On Black's Universal Hedging Rule." Review of International Economics 1, no. 2 (June 1993): 180–87. http://dx.doi.org/10.1111/j.1467-9396.1993.tb00014.x.

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31

Wybieralski, Piotr. "Cross-Currency Interest Rate Swap Application in the Long-Term Currency Risk Management." Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia 54, no. 2 (June 29, 2020): 113. http://dx.doi.org/10.17951/h.2020.54.2.113-124.

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<p>Effective currency risk management using various derivatives is particularly important under increased market volatility. The risk is relatively higher for longer than shorter time frames. This study highlights the implementation of selected instruments for long-term hedging. It presents the application of cross-currency interest rate swap as a currency risk hedging tool used by Polish exporters, mainly manufacturers generating their revenues mostly abroad (in euro area), exposed to negative exchange rate fluctuations. The paper covers issues related to the pricing, market risk estima

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32

Sriram, Mahadevan, and Srilakshminarayana Gali. "Corporate hedging theories and usage of foreign currency loans: a logit model approach." Investment Management and Financial Innovations 17, no. 4 (December 18, 2020): 367–77. http://dx.doi.org/10.21511/imfi.17(4).2020.31.

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The present study has attempted to discuss the association between corporate hedging theories and the usage of foreign currency loans by companies listed in India. A total of 349 non-financial companies were selected, and the data for the financial year ending 31st March, 2018 were considered for the analysis. The descriptive statistics indicate that 55% of the sample companies had borrowed funds in foreign currency. The companies were highly levered and maintained adequate short-term assets to honor short-term obligations. A logit model was employed for analyzing the cross-sectional data. The

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33

Kharbanda, Varuna, and Archana Singh. "Hedging and effectiveness of Indian currency futures market." Journal of Asia Business Studies 14, no. 5 (February 14, 2020): 581–97. http://dx.doi.org/10.1108/jabs-10-2018-0279.

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Purpose The purpose of this paper is to measure the effectiveness of the hedging with futures currency contracts. Measuring the effectiveness of hedging has become mandatory for Indian companies as the new Indian accounting standards, Ind-AS, specify that the effectiveness of hedges taken by the companies should be evaluated using quantitative methods but leaves it to the company to choose a method of evaluation. Design/methodology/approach The paper compares three models for evaluating the effectiveness of hedge – ordinary least square (OLS), vector error correction model (VECM) and dynamic c

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34

Frensidy, Budi, and Tasya Indah Mardhaniaty. "The Effect of Hedging with Financial Derivatives on Firm Value at Indonesia Stock Exchange." Economics and Finance in Indonesia 65, no. 1 (August 2, 2019): 20. http://dx.doi.org/10.47291/efi.v65i1.614.

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This study aims to analyze the effect of hedging for the risks of foreign currency, interest rate, and commodity price on firm value as measured by Tobin’s Q. The findings reveal that hedging with derivative instruments is insignificantly related to firm value but significantly varied in financial risks. Hedging for foreign currency risk has a significantly positive relation to firm value, while hedging for interest rate and commodity price risk has no relation. Furthermore, this study provides a novelty compared to previous studies in the utilization of the extent of hedging as the variable t

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35

Winston, Kenneth J., and Jeffery V. Bailey. "Investment Policy Implications of Currency Hedging." Journal of Portfolio Management 22, no. 4 (July 31, 1996): 50–57. http://dx.doi.org/10.3905/jpm.1996.409562.

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36

Nesbitt, Stephen L. "Currency Hedging Rules For Plan Sponsors." Financial Analysts Journal 47, no. 2 (March 1991): 73–81. http://dx.doi.org/10.2469/faj.v47.n2.73.

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37

Hazuka, Thomas B., and Lex C. Huberts. "A Valuation Approach to Currency Hedging." Financial Analysts Journal 50, no. 2 (March 1994): 55–59. http://dx.doi.org/10.2469/faj.v50.n2.55.

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38

Lioui, Abraham. "Currency risk hedging: Futures vs. forward." Journal of Banking & Finance 22, no. 1 (January 1998): 61–81. http://dx.doi.org/10.1016/s0378-4266(97)00039-3.

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39

Wong, Kit Pong. "Currency hedging with options and futures." European Economic Review 47, no. 5 (October 2003): 833–39. http://dx.doi.org/10.1016/s0014-2921(02)00287-8.

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40

Chakraborty, Atreya, and John T. Barkoulas. "Dynamic futures hedging in currency markets." European Journal of Finance 5, no. 4 (December 1999): 299–314. http://dx.doi.org/10.1080/135184799336975.

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41

Wong, Kit Pong. "Cross Hedging with Currency Forward Contracts." Journal of Futures Markets 33, no. 7 (May 15, 2012): 653–74. http://dx.doi.org/10.1002/fut.21561.

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42

Wong, Kit Pong. "Currency Hedging For Export-Flexible Firms*." International Economic Journal 15, no. 1 (March 2001): 165–74. http://dx.doi.org/10.1080/10168730100000008.

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43

WONG, KIT PONG. "CURRENCY HEDGING FOR EXPORT-FLEXIBLE FIRMS *." International Economic Journal 15, no. 1 (April 1, 2001): 165–74. http://dx.doi.org/10.1080/10168730100080008.

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44

Chung, Kyuil, Hail Park, and Hyun Song Shin. "Mitigating Systemic Spillovers from Currency Hedging." National Institute Economic Review 221 (July 2012): R44—R56. http://dx.doi.org/10.1177/002795011222100115.

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Korea has been a forerunner in incorporating macroprudential policies to mitigate the vulnerabilities from currency crises that can turn into a more generalised liquidity crisis. This paper examines longer-term design issues for a more resilient and stable financial system that could be expected to complement the existing macroprudential measures in achieving a more stable financial system. In particular, the paper examines the rationale and mechanics of a new public financial institution, provisionally called the Exchange Stabilisation and Guarantee Corporation (ESGC) whose main role is to bu

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45

Riederová, Sylvie. "Currency hedging with help of derivatives." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 59, no. 4 (2011): 273–80. http://dx.doi.org/10.11118/actaun201159040273.

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The high volatility combined with unpredictable fluctuations of CZK had shown one more time to the Czech exporting companies the necessity of currency hedging. This article is focused on finding of suitable currency hedging instrument for exporting company, working with the currency pair of CZK/EUR. In the first part, the time series analysis is made for volatility, interest rates and exchange rate. Based on the real market data – gained from Thomson REUTERS and CNB for the time period starting in 2002 – the detailed analysis is made in graphical form. The main goal is to find out the future t

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46

Zhang, Wei Guo, Xing Yu, and Yong Jun Liu. "Trade and currency options hedging model." Journal of Computational and Applied Mathematics 343 (December 2018): 328–40. http://dx.doi.org/10.1016/j.cam.2018.04.059.

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47

Ogunc, Kurtay. "Behavioral currency hedging for international portfolios." International Review of Financial Analysis 17, no. 4 (September 2008): 716–27. http://dx.doi.org/10.1016/j.irfa.2007.09.005.

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48

Sondermann, Dieter. "Currency options: Hedging and social value." European Economic Review 31, no. 1-2 (February 1987): 246–56. http://dx.doi.org/10.1016/0014-2921(87)90037-7.

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49

Anikieviсh, A. M., and N. A. Prodanova. "Neutralizing currency risk in procurement via hedging." Buhuchet v zdravoohranenii (Accounting in Healthcare), no. 8 (August 4, 2021): 54–67. http://dx.doi.org/10.33920/med-17-2108-06.

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The article discusses the concept of currency risk arising in foreign trade procedures and defines currency risk types: operational, translational, economic and hidden risks. The main factors influencing exchange rate are determined: level of inflation, interest rates in different countries, state of current accounts, amount of public debt, terms of trade and political stability. Methods of assessing currency risk using the Value-at-Risk methodology are presented: historical modeling, variancecovariance model, Monte Carlo modeling. Exchange-traded and overthe-counter currency risk management t

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50

Mefteh-Wali, Salma, and Marie-Josèphe Rigobert. "The Dual Nature of Foreign Currency Debt and Its Impact on Firm Performance: Evidence from French Non-Financial Firms." Management international 23, no. 1 (June 4, 2019): 68–77. http://dx.doi.org/10.7202/1060063ar.

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We investigate the impact of foreign currency debt on firm performance for a sample of non-financial French firms studied over the period 2002 to 2012. As foreign currency debt is both a financing and hedging instrument against foreign exchange risk, we examine whether its impact results from an optimal hedging policy or a capital structure policy. We find that foreign currency debt and domestic debt have the same positive effect before the crisis and negative impact after. The capital structure theory or the hedging theory can explain this result. During the crisis period, only corporate hedg

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