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Author: | Morey, M. R. Simpson, M. W. |
Title: | To hedge or not to hedge: the performance of simple strategies for hedging foreign exchange risk |
Journal: | Journal of Multinational Financial Management
2001 : APR, VOL. 11:2, p. 213-223 |
Index terms: | Hedging Foreign exchange Risk management Canada Germany Japan Switzerland United Kingdom |
Language: | eng |
Abstract: | This paper investigates the efficacy of simple strategies for hedging foreign exchange risk. The strategies are: to always hedge, to never hedge, to hedge when the forward rate is at a premium, to hedge only when the premium is large, and a strategy based upon relative purchasing power parity. The authors find a strategy which hedges upon large premia generally outoerforms the other startegies for the period 1989-1998. |
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