File Download
  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Optimal Export and Hedging Decisions When Forward Markets Are Incomplete

TitleOptimal Export and Hedging Decisions When Forward Markets Are Incomplete
Authors
KeywordsCross-Hedging
Exports
Regression Dependence
Issue Date2007
PublisherBlackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/BOER
Citation
Bulletin Of Economic Research, 2007, v. 59 n. 1, p. 67-81 How to Cite?
AbstractThis paper examines the behaviour of the competitive firm that exports to two foreign countries under multiple sources of exchange rate uncertainty. There is a forward market between the home currency and one foreign country's currency, but there are no hedging instruments directly related to the other foreign country's currency. We show that the separation theorem holds when the firm optimally exports to the foreign country with the currency forward market. The full-hedging theorem holds either when the firm exports exclusively to the foreign country with the currency forward market or when the relevant spot exchange rates are independent. In the case that the relevant spot exchange rates are positively (negatively) correlated in the sense of regression dependence, the firm optimally opts for a short (long) forward position for cross-hedging purposes. © 2007 The Authors. Journal compilation © 2007 Blackwell Publishing Ltd and the Board of Trustees of the Bulletin of Economic Research.
Persistent Identifierhttp://hdl.handle.net/10722/177740
ISSN
2015 Impact Factor: 0.261
2015 SCImago Journal Rankings: 0.280
References

 

DC FieldValueLanguage
dc.contributor.authorWong, KPen_US
dc.date.accessioned2012-12-19T09:39:45Z-
dc.date.available2012-12-19T09:39:45Z-
dc.date.issued2007en_US
dc.identifier.citationBulletin Of Economic Research, 2007, v. 59 n. 1, p. 67-81en_US
dc.identifier.issn0307-3378en_US
dc.identifier.urihttp://hdl.handle.net/10722/177740-
dc.description.abstractThis paper examines the behaviour of the competitive firm that exports to two foreign countries under multiple sources of exchange rate uncertainty. There is a forward market between the home currency and one foreign country's currency, but there are no hedging instruments directly related to the other foreign country's currency. We show that the separation theorem holds when the firm optimally exports to the foreign country with the currency forward market. The full-hedging theorem holds either when the firm exports exclusively to the foreign country with the currency forward market or when the relevant spot exchange rates are independent. In the case that the relevant spot exchange rates are positively (negatively) correlated in the sense of regression dependence, the firm optimally opts for a short (long) forward position for cross-hedging purposes. © 2007 The Authors. Journal compilation © 2007 Blackwell Publishing Ltd and the Board of Trustees of the Bulletin of Economic Research.en_US
dc.languageengen_US
dc.publisherBlackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/BOERen_US
dc.relation.ispartofBulletin of Economic Researchen_US
dc.rightsBulletin of Economic Research. Copyright © Blackwell Publishing Ltd.-
dc.subjectCross-Hedgingen_US
dc.subjectExportsen_US
dc.subjectRegression Dependenceen_US
dc.titleOptimal Export and Hedging Decisions When Forward Markets Are Incompleteen_US
dc.typeArticleen_US
dc.identifier.emailWong, KP: kpwongc@hkucc.hku.hken_US
dc.identifier.authorityWong, KP=rp01112en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1111/j.0307-3378.2007.00248.xen_US
dc.identifier.scopuseid_2-s2.0-33846361078en_US
dc.identifier.hkuros134726-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33846361078&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume59en_US
dc.identifier.issue1en_US
dc.identifier.spage67en_US
dc.identifier.epage81en_US
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridWong, KP=7404759417en_US
dc.identifier.citeulike1057573-

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats