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Article: Hedging and nonlinear risk exposure

TitleHedging and nonlinear risk exposure
Authors
Issue Date2001
PublisherOxford University Press. The Journal's web site is located at http://oep.oxfordjournals.org/
Citation
Oxford Economic Papers, 2001, v. 53 n. 2, p. 281-296 How to Cite?
AbstractThis paper documents some empirical evidence of nonlinear spot-futures exchange rates relationships and develops an expected utility model of an exporting firm to examine the associated economic implications. The model shows that the firm should export more (less) and adopt an over (under) hedge in an unbiased currency futures market if the spot-futures exchange rates relationship is convex (concave) rather than linear. When fairly priced currency options on futures are available, the firm should use them in conjunction with the currency futures so as to achieve better hedging against its nonlinear exchange rate risk exposure. This provides a rationale for the hedging role of options when the underlying uncertainty is nonlinear in nature.
Persistent Identifierhttp://hdl.handle.net/10722/85678
ISSN
2015 Impact Factor: 0.734
2015 SCImago Journal Rankings: 0.928
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorBroll, Uen_HK
dc.contributor.authorChow, KWen_HK
dc.contributor.authorWong, Kpen_HK
dc.date.accessioned2010-09-06T09:07:56Z-
dc.date.available2010-09-06T09:07:56Z-
dc.date.issued2001en_HK
dc.identifier.citationOxford Economic Papers, 2001, v. 53 n. 2, p. 281-296en_HK
dc.identifier.issn0030-7653en_HK
dc.identifier.urihttp://hdl.handle.net/10722/85678-
dc.description.abstractThis paper documents some empirical evidence of nonlinear spot-futures exchange rates relationships and develops an expected utility model of an exporting firm to examine the associated economic implications. The model shows that the firm should export more (less) and adopt an over (under) hedge in an unbiased currency futures market if the spot-futures exchange rates relationship is convex (concave) rather than linear. When fairly priced currency options on futures are available, the firm should use them in conjunction with the currency futures so as to achieve better hedging against its nonlinear exchange rate risk exposure. This provides a rationale for the hedging role of options when the underlying uncertainty is nonlinear in nature.en_HK
dc.languageengen_HK
dc.publisherOxford University Press. The Journal's web site is located at http://oep.oxfordjournals.org/en_HK
dc.relation.ispartofOxford Economic Papersen_HK
dc.rightsOxford Economic Papers. Copyright © Oxford University Press.en_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.titleHedging and nonlinear risk exposureen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0030-7653&volume=53&spage=281&epage=296&date=2001&atitle=Hedging+and+Nonlinear+Risk+Exposureen_HK
dc.identifier.emailWong, Kp: kpwongc@hkucc.hku.hken_HK
dc.identifier.authorityWong, Kp=rp01112en_HK
dc.description.naturepostprint-
dc.identifier.doi10.1093/oep/53.2.281-
dc.identifier.scopuseid_2-s2.0-0035044740en_HK
dc.identifier.hkuros59044en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0035044740&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume53en_HK
dc.identifier.issue2en_HK
dc.identifier.spage281en_HK
dc.identifier.epage296en_HK
dc.identifier.isiWOS:000168267300006-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridBroll, U=7004024398en_HK
dc.identifier.scopusauthoridChow, KW=7202180874en_HK
dc.identifier.scopusauthoridWong, Kp=7404759417en_HK

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