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To hedge or not to hedge: the performance of simple strategies for hedging foreign exchange risk

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  • Morey, Matthew R.
  • Simpson, Marc W.

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  • Morey, Matthew R. & Simpson, Marc W., 2001. "To hedge or not to hedge: the performance of simple strategies for hedging foreign exchange risk," Journal of Multinational Financial Management, Elsevier, vol. 11(2), pages 213-223, April.
  • Handle: RePEc:eee:mulfin:v:11:y:2001:i:2:p:213-223
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    References listed on IDEAS

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    1. Baillie, Richard T & Bollerslev, Tim, 1994. "The long memory of the forward premium," Journal of International Money and Finance, Elsevier, vol. 13(5), pages 565-571, October.
    2. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
    3. Craig S. Hakkio, 1992. "Is purchasing power parity a useful guide to the dollar?," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 37-51.
    4. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    5. Klaassen, F.J.G.M., 1999. "Purchasing Power Parity : Evidence from a New Test," Discussion Paper 1999-09, Tilburg University, Center for Economic Research.
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    Citations

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    Cited by:

    1. Simpson, Marc W. & Dania, Akash, 2006. "Selectively hedging the Euro," Journal of Multinational Financial Management, Elsevier, vol. 16(1), pages 27-42, February.
    2. Grossmann, Axel & Simpson, Marc W., 2015. "Bid-ask spreads, deviations from PPP and the forward prediction error: The case of the British pound and the euro," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 124-139.
    3. Grossmann, Axel & McMillan, David G., 2010. "Forecasting exchange rates: Non-linear adjustment and time-varying equilibrium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 436-450, October.
    4. Grossmann, Axel & Lee, Allissa A. & Simpson, Marc W., 2014. "Forward premium anomaly of the British pound and the euro," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 140-156.
    5. Libo Yin & Liyan Han, 2015. "Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 151-181, January.
    6. Vander Linden, David, 2005. "Denomination of currency decisions and zero-cost options collars," Journal of Multinational Financial Management, Elsevier, vol. 15(1), pages 85-98, February.
    7. Simpson, Marc W. & Grossmann, Axel, 2014. "An examination of the forward prediction error of U.S. dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium asymmetry," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 221-238.
    8. Luis Berggrun, 2005. "Currency Hedging for a Dutch Investor: The Case of Pension Funds and Insurers," DNB Working Papers 054, Netherlands Central Bank, Research Department.
    9. Simpson, Marc W., 2004. "Selectively hedging the US dollar with foreign exchange futures contracts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(1), pages 75-86, February.
    10. Scott McCarthy, 2003. "Hedging versus not hedging: strategies for managing foreign exchange transaction exposure," School of Economics and Finance Discussion Papers and Working Papers Series 162, School of Economics and Finance, Queensland University of Technology.
    11. Grossmann, Axel & Simpson, Marc W. & Brown, Cynthia J., 2009. "The impact of deviation from relative purchasing power parity equilibrium on U.S. foreign direct investment," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 521-550, May.
    12. Susan Thorp, 2004. "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings 148, Econometric Society.
    13. repec:eee:jimfin:v:77:y:2017:i:c:p:57-76 is not listed on IDEAS
    14. Grossmann, Axel & Orlov, Alexei G., 2012. "Exchange rate misalignments in frequency domain," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 185-199.

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