Foreign currency for long-term investors

• 成果类型: Article; Proceedings Paper
• 署名作者: Campbell, JY; Viceira, LM; White, JS
• 署名单位: Harvard University
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/1468-0297.00120
• 发表日期: 2003
• 页码: C1-C25
• 关键词: purchasing-power parity; temporal behavior; exchange-rates; risk-aversion; asset returns; consumption; MODEL; substitution; puzzle; think

摘要

Conventional wisdom holds that conservative investors should avoid exposure to foreign currency risk. Even if they hold foreign equities, they should hedge the currency exposure of these positions and hold only domestic Treasury bills. This paper argues that the conventional wisdom may be wrong for long-term investors. Domestic bills are risky for long-term investors, because real interest rates vary over time and bills must be rolled over at uncertain future interest rates. This risk can be hedged by holding foreign currency if the domestic currency tends to depreciate when the domestic real interest rate falls. Empirically this effect is important.