Cubrir o no Cubrir: ¿Ese es el Dilema?
AbstractIn this paper we analyze if currency hedging reduces risk. Based on historical data (1997- 2011) and using coherent measures of risk, we found that in equity portfolios it does not imply a reduction on risk. In contrast, for fixed-income portfolios the optimal hedging is 100%. Last finding is also robust to both USD and EUR portfolios
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Bibliographic InfoPaper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 662.
Date of creation: Feb 2012
Date of revision:
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- Augusto Castillo R. & Rafael Aguila, 2005. "Estrategias Optimas De Cobertura En Presencia De Incertidumbre En Costos Y Cantidad," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 8(2), pages 88-110.
- Mills,Terence C. & Markellos,Raphael N., 2008. "The Econometric Modelling of Financial Time Series," Cambridge Books, Cambridge University Press, number 9780521710091.
- Valentín Délano & Felipe Jaque, 2005. "Spreads Soberanos: ¿Diferencian los Inversionistas Internacionales entre Economías Emergentes?," Working Papers Central Bank of Chile 332, Central Bank of Chile.
- Luis Felipe Céspedes C. & Jorge A. Fornero & Jordi Galí, 2011.
"Non-Ricardian Aspects of Fiscal Policy in Chile,"
Journal Economía Chilena (The Chilean Economy),
Central Bank of Chile, vol. 14(2), pages 79-107, August.
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