Currency Hedging for International Portfolios
AbstractThis paper examines the benefits from hedging the currency exposure of international investments in single- and multi-country equity and bond portfolios from the perspectives of German, Japanese, British and American investors. Over the period 1975 to 2009, hedging of currency risk substantially reduced the volatility of foreign investments at a quarterly investment horizon. Contrary to previous studies, the paper finds that at longer investment horizons of up to five years the case for hedging for risk reduction purposes remained strong.In addition to its impact on risk, hedging affected returns in economically meaningful magnitudes in some cases.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 10/151.
Date of creation: 01 Jun 2010
Date of revision:
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-31 (All new papers)
- NEP-FMK-2010-07-31 (Financial Markets)
- NEP-IFN-2010-07-31 (International Finance)
- NEP-RMG-2010-07-31 (Risk Management)
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.:
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