Global Currency Hedging

• 成果类型: Article
• 署名作者: Campbell, John Y.; Serfaty-De Medeiros, Karine; Viceira, Luis M.
• 署名单位: Harvard University; Harvard University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01524.x
• 发表日期: 2010
• 页码: 87-121
• 关键词: INTERNATIONAL CAPITAL-MARKET; exchange-rates; FOREIGN-CURRENCY; asset allocation; MODEL; equilibrium; consumption; portfolios; RISK

摘要

Over the period 1975 to 2005, the U.S. dollar (particularly in relation to the Canadian dollar), the euro, and the Swiss franc (particularly in the second half of the period) moved against world equity markets. Thus, these currencies should be attractive to risk-minimizing global equity investors despite their low average returns. The risk-minimizing currency strategy for a global bond investor is close to a full currency hedge, with a modest long position in the U.S. dollar. There is little evidence that risk-minimizing investors should adjust their currency positions in response to movements in interest differentials.