An examination of dynamic hedging
Article Abstract:
The generalized autoregressive conditional heteroskedasticity (GARCH)-modeled dynamic hedging methodologies are contrasted with the traditional ordinary least squares (OLS)-modeled methodologies. Dynamic hedging was found to slightly reduce risk more than static hedging. Static comparison of the macroeconomic and asset-specific parts of the hedge ratio is applied to a dynamic environment to determine how the relative significance of these two components change with time. The asset-specific segment was found to affect the out-of-sample period especially under dynamic methodologies and under short-term hedging horizons.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1996
User Contributions:
Comment about this article or add new information about this topic:
Foreign exchange controls and liquidity
Article Abstract:
The liquidity effects of foreign exchange controls is studied in a two-country, two-good, two-currency world economy. The liquidity effects' impact on the two countries' welfare, output, employment and consumption are also examined. Taxing foreign currency purchases triggers redistribution of liquidity in international financial markets which causes changes in welfare of economic agents in each country and exchange rate and interest rate fluctuations.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1995
User Contributions:
Comment about this article or add new information about this topic:
Currency swaps, hedging, and the exchange of collateral
Article Abstract:
A simple model of hedging financial risk showing the superior hedging capabilities of currency swaps is presented. A superior loan-collateral matching is effected by currency swaps because both parties implicitly exchange their assests with one another. Swaps also result in lower borrowing costs to both parties. The mutual double bonding arrangement that arises from a currency swap guarantees its enforceability.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1992
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: A reexamination of option values implicit in callable treasury bonds. From cradle to grave: How to loot a 401(k) plan
- Abstracts: An examination of the cross-sectional relationship of beta and return: UK evidence. Cross-sectional regression analysis of return and beta in Japan
- Abstracts: Central bank intervention and trading rule profits in foreign exchange markets. Price and trade effects of exchange rate fluctuations and the design of policy coordination
- Abstracts: Why trade liberalization is good for growth. Foreign direct investment and growth in EP and IS countries. Demand and supply factors in the determination of NIE exports: a simultaneous error-correction model for Hong Kong
- Abstracts: When risk generates chaos. Systemic risk on the interbank market. A note on the Tullock dissipation rate