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Article: Optimal Export and Hedging Decisions When Forward Markets Are Incomplete
Title | Optimal Export and Hedging Decisions When Forward Markets Are Incomplete |
---|---|
Authors | |
Keywords | Cross-Hedging Exports Regression Dependence |
Issue Date | 2007 |
Publisher | Blackwell 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? |
Abstract | This 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 Identifier | http://hdl.handle.net/10722/177740 |
ISSN | 2023 Impact Factor: 0.8 2023 SCImago Journal Rankings: 0.299 |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Wong, KP | en_US |
dc.date.accessioned | 2012-12-19T09:39:45Z | - |
dc.date.available | 2012-12-19T09:39:45Z | - |
dc.date.issued | 2007 | en_US |
dc.identifier.citation | Bulletin Of Economic Research, 2007, v. 59 n. 1, p. 67-81 | en_US |
dc.identifier.issn | 0307-3378 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/177740 | - |
dc.description.abstract | This 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.language | eng | en_US |
dc.publisher | Blackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/BOER | en_US |
dc.relation.ispartof | Bulletin of Economic Research | en_US |
dc.rights | Bulletin of Economic Research. Copyright © Blackwell Publishing Ltd. | - |
dc.subject | Cross-Hedging | en_US |
dc.subject | Exports | en_US |
dc.subject | Regression Dependence | en_US |
dc.title | Optimal Export and Hedging Decisions When Forward Markets Are Incomplete | en_US |
dc.type | Article | en_US |
dc.identifier.email | Wong, KP: kpwongc@hkucc.hku.hk | en_US |
dc.identifier.authority | Wong, KP=rp01112 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1111/j.0307-3378.2007.00248.x | en_US |
dc.identifier.scopus | eid_2-s2.0-33846361078 | en_US |
dc.identifier.hkuros | 134726 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-33846361078&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 59 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 67 | en_US |
dc.identifier.epage | 81 | en_US |
dc.publisher.place | United Kingdom | en_US |
dc.identifier.scopusauthorid | Wong, KP=7404759417 | en_US |
dc.identifier.citeulike | 1057573 | - |
dc.identifier.issnl | 0307-3378 | - |