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Article: Cross-hedging of exchange rate risks: A note

TitleCross-hedging of exchange rate risks: A note
Authors
KeywordsD21
D81
F31
Issue Date2006
PublisherBlackwell Publishing Asia. The Journal's web site is located at http://www.blackwellpublishing.com/journals/JERE
Citation
Japanese Economic Review, 2006, v. 57 n. 3, p. 449-453 How to Cite?
AbstractThis note studies the optimal production and hedging decisions of a competitive international firm that exports to two foreign countries. The firm faces multiple sources of exchange rate uncertainty. Cross-hedging is plausible in that one of the two foreign countries has a currency forward market. We show that the firm's optimal forward position is an over-hedge, a full-hedge or an under-hedge, depending on whether the two random exchange rates are strongly positively correlated, uncorrelated or negatively correlated, respectively. © 2006 Japanese Economic Association.
Persistent Identifierhttp://hdl.handle.net/10722/85679
ISSN
2015 Impact Factor: 0.226
2015 SCImago Journal Rankings: 0.236
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorBattermann, HLen_HK
dc.contributor.authorBroll, Uen_HK
dc.contributor.authorPong Wong, Ken_HK
dc.date.accessioned2010-09-06T09:07:56Z-
dc.date.available2010-09-06T09:07:56Z-
dc.date.issued2006en_HK
dc.identifier.citationJapanese Economic Review, 2006, v. 57 n. 3, p. 449-453en_HK
dc.identifier.issn1352-4739en_HK
dc.identifier.urihttp://hdl.handle.net/10722/85679-
dc.description.abstractThis note studies the optimal production and hedging decisions of a competitive international firm that exports to two foreign countries. The firm faces multiple sources of exchange rate uncertainty. Cross-hedging is plausible in that one of the two foreign countries has a currency forward market. We show that the firm's optimal forward position is an over-hedge, a full-hedge or an under-hedge, depending on whether the two random exchange rates are strongly positively correlated, uncorrelated or negatively correlated, respectively. © 2006 Japanese Economic Association.en_HK
dc.languageengen_HK
dc.publisherBlackwell Publishing Asia. The Journal's web site is located at http://www.blackwellpublishing.com/journals/JEREen_HK
dc.relation.ispartofJapanese Economic Reviewen_HK
dc.subjectD21en_HK
dc.subjectD81en_HK
dc.subjectF31en_HK
dc.titleCross-hedging of exchange rate risks: A noteen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1352-4739&volume=57&spage=449&epage=453&date=2006&atitle=Cross-Hedging+of+Exchange+Rate+Risks:+A+Noteen_HK
dc.identifier.emailPong Wong, K: kpwongc@hkucc.hku.hken_HK
dc.identifier.authorityPong Wong, K=rp01112en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1111/j.1468-5876.2006.00318.xen_HK
dc.identifier.scopuseid_2-s2.0-33746737546en_HK
dc.identifier.hkuros134721en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33746737546&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume57en_HK
dc.identifier.issue3en_HK
dc.identifier.spage449en_HK
dc.identifier.epage453en_HK
dc.identifier.isiWOS:000239516700006-
dc.publisher.placeAustraliaen_HK
dc.identifier.scopusauthoridBattermann, HL=6507211834en_HK
dc.identifier.scopusauthoridBroll, U=7004024398en_HK
dc.identifier.scopusauthoridPong Wong, K=7404759417en_HK
dc.identifier.citeulike787090-

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