Equilibrium exchange rate hedging
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Equilibrium exchange rate hedging by Fischer Black

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Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

Subjects:

  • Foreign exchange -- Econometric models.,
  • Hedging (Finance) -- Econometric models.,
  • Analysis of covariance.

Book details:

Edition Notes

StatementFischer Black.
SeriesNBER working paper series -- working paper no. 2947, Working paper series (National Bureau of Economic Research) -- working paper no. 2947.
The Physical Object
Pagination26 p. ;
Number of Pages26
ID Numbers
Open LibraryOL22437555M

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Equilibrium Exchange Rate Hedging. FISCHER BLACK. Goldman, Sachs & Co. (and the fraction of the market's exchange risk that investors hedge) as depending on an average of world market risk premia, an average of world market volatilities, and an average of exchange rate volatilities. The weights in these averages are the same as the weights Cited by: In equilibrium, the price of the world market portfolio will adjust so that the constant will be related to an average of world market risk premia, an average of world market volatilities, and an average of exchange rate volatilities, where we take the averages over all by: Equilibrium Exchange Rate Hedging. FISCHER BLACK. Goldman, Sachs & Co. and an average of exchange rate volatilities. The weights in these averages are the same as the weights of the different countries in the currency basket. Given these averages, the ratio (and the fraction hedged) will not depend directly on exchange rate means or Cited by: Fischer Black, "Equilibrium Exchange Rate Hedging," NBER Working Papers , National Bureau of Economic Research, Inc. Handle: RePEc:nbr:nberwo Note: ME.

o" e = the average exchange rate volatility (av- eraged variances) across all pairs of countries Neither expected changes in exchange rates nor correlations between exchange rate changes and stock returns or other exchange rate changes affect optimal hedge ratios. In equilibrium, the expected. Equilibrium Exchange Rate Hedging. By Fischer Black. Get PDF ( KB) Abstract. In a one-period model where each investor consumes a single good, and where borrowing and lending are private and real, there is a universal constant that tells how much each investor hedges his foreign investments. It also makes investors prefer a world with more exchange rate risk to a similar world with less exchange rate risk. Suggested Citation: Suggested Citation Black, Fischer, Equilibrium Exchange Rate Hedging (April ). Black, Fischer, "Equilibrium Exchange Rate Hedging," Journal of Finance, American Finance Association, vol. 45(3), pages , : RePEc:bla:jfinan.

EXCHANGE RATES: CONCEPTS, MEASUREMENTS AND ASSESSMENT OF COMPETITIVENESS Bangkok Novem Rajan Govil, Consultant. This activity is supported by a grant from Japan. BANGKOK, THAILAND. NOVEMBER 24 – DECEMBER 3, 2 competitiveness and equilibrium.   Hedging currency risk is a useful tool for any savvy investor that does business internationally and wants to mitigate the risk associated with the Forex currency exchange rate fluctuations. In this currency hedging guide we’re going to outline a few standard and out of the box currency risk hedging strategies.. If this is your first time on our website, our team at Trading Strategy . Hedging is a way for a company to minimize or eliminate foreign exchange risk. Two common hedges are forward contracts and options. A forward contract will lock in an exchange rate today at which the currency transaction will occur at the future date. An option sets an exchange rate at which the company may choose to exchange currencies.   This period was chosen as the base because Hakkio () has argued that the exchange rate was in equilibrium during this period. 4 The logic of hedging when ppp indicates that the spot rate will be falling in the future is that (a) if the forward rate is at a premium, hedging offers greater expected returns; and (b) even if the forward rate is.