Dynamic hedging in currency crisis
AbstractGarber and Spencer have argued that dynamic hedging may lead to perverse results when interest rates are used to defend an exchange rate. This paper shows that interest rate changes have little effects on dynamic hedgers when volatility is high.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 62 (1999)
Issue (Month): 3 (March)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- F3 - International Economics - - International Finance
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Peter M. Garber & Michael G. Spencer, 1995. "Foreign Exchange Hedging and the Interest Rate Defense," IMF Staff Papers, Palgrave Macmillan, vol. 42(3), pages 490-516, September.
- Juan Ayuso & M.P. Jurado & Fernando Restoy, 1994. "Is Exchange Rate Risk Higher in the E.R.M. after the Widening of Fluctuation Bands?," Banco de Espaï¿½a Working Papers 9419, Banco de Espa�a.
- Peter M. Garber & Michael G. Spencer, 1996. "Dynamic Hedging and the Interest Rate Defense," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 209-228 National Bureau of Economic Research, Inc.
- repec:fth:baesse:9419 is not listed on IDEAS
- Barry Eichengreen & Charles Wyplosz, 1993. "The Unstable EMS," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 24(1), pages 51-144.
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