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| Author: | Swanson, P. E. Caples, S. C. |
| Title: | Hedging foreign exchange risk using forward foreign exchange markets : an extension. |
| Journal: | Journal of International Business Studies
1987 : SPRING, VOL. 18:1, p. 75-90 |
| Index terms: | FOREIGN EXCHANGE FOREIGN EXCHANGE MARKET FINANCIAL RISK HEDGING UNITED KINGDOM FEDERAL REPUBLIC OF GERMANY |
| Language: | eng |
| Abstract: | A survey of the effect of autocorrelation on the British pound and German mark in minimizing risk-hedging ratios and hedging effectiveness from 1982-1984. The theory of hedging foreign exchange risks, future spot rate expectations and management degrees of risk aversion are given together with methodology formulation, tests and three Tables of autocorrelations for the pound and mark, their lag and 90-day hedges. The authors agree that the findings may not hold true for other currencies, but stress the necessity of autocorrelation in determining optimal hedging strategies for multinational corporations. |
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