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Cross-hedging foreign currency risk
Journal of International Money and Finance, 1987Abstract This paper provides empirical evidence on the effectiveness of cross-hedging to reduce foreign exchange risk. Simple cross-hedges for currencies with and without futures contracts, multiple cross-hedges, portfolio hedges, and commodity cross-hedges are examined.
Mark R Eaker, Dwight M Grant
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Optimal Cross Hedging Winter Canola
2014Winter canola in the southern Great Plains has shown large price fluctuations and there have been questions about which futures market could be used to reduce price risk. Our results indicate that the optimal futures contract to cross hedge winter canola is soybean oil futures.
Kim, Seon-Woong +2 more
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Cross hedging jet-fuel price exposure
Energy Economics, 2012Abstract This paper investigates the cross hedging performance of several oil forwards contracts using WTI, Brent, gasoil and heating oil to manage jet-fuel spot price exposure. We apply three econometric techniques that have been widely tested and applied in the cross hedging literature on foreign exchange and stock index futures markets.
Adams, Zeno, Gerner, Mathias
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Cross‐Hedging of Exchange‐Rate Risk
Review of International Economics, 1996For currencies with highly developed forward markets a well‐known separation theorem holds which implies that international firms fully hedge the exchange rate risk if the forward markets are unbiased. In this paper we present a model of a risk‐averse firm when perfect hedging instruments are not available. Instead the firm can cross‐hedge the exchange‐
Udo Broll, Bernhard Eckwert
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Cross-Hedging Minimum Return Guarantees: Basis and Liquidity Risk
SSRN Electronic Journal, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ankirchner, Stefan +2 more
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Dynamic Cross Hedging with Mortgage-Backed Securities
The Journal of Fixed Income, 1998Hedging the risk of mortgage-backed securities (MBS) has long been a concern of the many institutional owners of these bonds. Recent financial losses have hastened the need to understand how best to deal with the indeterminate timing of cash flows, notably the prepayment option that allows a home buyer to prepay a mortgage at any time.
Gregory Koutmos +2 more
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Multiple currencies and cross hedging [PDF]
, 1995 The paper derives optimal cross hedging and production rules for an exporting firm which faces multiple exchange rate risks. We study the impact of currency cross hedging upon the firm's export production for two countries. We demonstrate that when the forward market for cross hedging is unbiased there is a full hedge.
Broll, Udo, Zilcha, Itzhak
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Cross-Hedging of Inflation Derivatives on Commodities
The Journal of Alternative Investments, 20151. Nicolas Fulli-Lemaire 1. Nicolas Fulli-Lemaire is a research analyst at Amundi Asset Management and at the University of Paris II in Paris, France. (nicolas.fulli-lemaire{at}hotmail.com) 2. Ernesto Palidda 1. Ernesto Palidda is a VP at an Investment Bank in London. (ernesto.palidda{
Fulli-Lemaire, Nicolas, Palidda, Ernesto
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Cross Hedging with Currency Forward Contracts
Journal of Futures Markets, 2012This study examines the behavior of a competitive exporting firm that exports to a foreign country and faces multiple sources of exchange rate uncertainty. Although there are no hedging instruments between the home and foreign currencies, there is a third country that has well‐developed currency forward markets to which the firm has access.
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CROSS HEDGING WITHIN A LOG MEAN REVERTING MODEL
International Journal of Theoretical and Applied Finance, 2007We hedge options on electricity spot prices by cross hedging, i.e., by using another financial asset. We calculate hedging strategies by quadratic minimization and local risk minimization. In our model of energy markets, we have done a deep study of no arbitrage and of the existence of martingale measures with square integrable density.
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