File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Cross Hedging with Currency Forward Contracts

TitleCross Hedging with Currency Forward Contracts
Authors
Issue Date2013
PublisherJohn Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/
Citation
Journal Of Futures Markets, 2013, v. 33 n. 7, p. 653-674 How to Cite?
AbstractThis study examines the behavior of a competitive exporting firm that exports to a foreign country and faces multiple sources of exchange rate uncertainty. Although there are no hedging instruments between the home and foreign currencies, there is a third country that has well-developed currency forward markets to which the firm has access. The firm's optimal cross-hedging decision is shown to depend both on the degree of incompleteness of the currency forward markets in the third country, and on the correlation structure of the random spot exchange rates. Furthermore, the firm is shown to be more eager to produce and expand its exports to the foreign country when the missing currency forward contracts between the home and foreign currencies can be synthesized by the existing currency forward contracts. In this case of perfect cross hedging, the separation theorem holds but the full-hedging theorem may or may not hold. © 2012 Wiley Periodicals, Inc.
Persistent Identifierhttp://hdl.handle.net/10722/177795
ISSN
2015 Impact Factor: 0.698
2015 SCImago Journal Rankings: 0.520
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorWong, KPen_US
dc.date.accessioned2012-12-19T09:39:55Z-
dc.date.available2012-12-19T09:39:55Z-
dc.date.issued2013en_US
dc.identifier.citationJournal Of Futures Markets, 2013, v. 33 n. 7, p. 653-674en_US
dc.identifier.issn0270-7314en_US
dc.identifier.urihttp://hdl.handle.net/10722/177795-
dc.description.abstractThis study examines the behavior of a competitive exporting firm that exports to a foreign country and faces multiple sources of exchange rate uncertainty. Although there are no hedging instruments between the home and foreign currencies, there is a third country that has well-developed currency forward markets to which the firm has access. The firm's optimal cross-hedging decision is shown to depend both on the degree of incompleteness of the currency forward markets in the third country, and on the correlation structure of the random spot exchange rates. Furthermore, the firm is shown to be more eager to produce and expand its exports to the foreign country when the missing currency forward contracts between the home and foreign currencies can be synthesized by the existing currency forward contracts. In this case of perfect cross hedging, the separation theorem holds but the full-hedging theorem may or may not hold. © 2012 Wiley Periodicals, Inc.en_US
dc.languageengen_US
dc.publisherJohn Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/en_US
dc.relation.ispartofJournal of Futures Marketsen_US
dc.titleCross Hedging with Currency Forward Contractsen_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.doi10.1002/fut.21561en_US
dc.identifier.scopuseid_2-s2.0-84876704988en_US
dc.identifier.hkuros214245-
dc.identifier.isiWOS:000318043700003-
dc.publisher.placeUnited Statesen_US
dc.identifier.scopusauthoridWong, KP=7404759417en_US

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats