Global currency hedging

Journal of Finance

Volumn 65, Issue 1, 2010, Pages 87-121

  Campbell, John Y ^a   Serfaty De Medeiros, Karine ^b   Viceira, Luis M ^c  

^a HARVARD UNIVERSITY   (United States)

^b OC and C Strategy Consultants ^*

^c NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 74249122034     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2009.01524.x     Document Type: Article

References (30)

1. Adler, Michael, and Bernard Dumas, 1983, International portfolio choice and corporation finance: A synthesis, Journal of Finance 38, 925 984.
2. Black, Fischer, 1990, Equilibrium exchange rate hedging, Journal of Finance 45, 899 907.
3. Brunnermeier, Markus, Stefan Nagel, and Lasse Pedersen, 2009, Carry trades and currency crashes, NBER Macroeconomics Annual 23, 313 347.
4. Burnside, Craig, Martin Eichenbaum, Isaac Kleshchelski, and Sergio Rebelo, 2006, The returns to currency speculation, NBER Working Paper No. 12489.
5. Campbell, John Y., Yeung Lewis Chan, and Luis M. Viceira, 2003, A multivariate model of strategic asset allocation, Journal of Financial Economics 67, 41 80.
6. Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay, 1997, The Econometrics of Financial Markets (Princeton University Press, Princeton, NJ).
7. Campbell, John Y., Adi Sunderam, and Luis M. Viceira, 2009, Inflation bets or deflation hedges? The changing risks of nominal bonds, NBER Working Paper No. 14701.
8. Campbell, John Y., Luis M. Viceira, and Joshua S. White, 2003, Foreign currency for long-term investors, Economic Journal 113, C1 C25.
9. Cooper, Ian, and Evi Kaplanis, 1994, Home bias in equity portfolios, inflation hedging, and international capital market equilibrium, Review of Financial Studies 7, 45 60.
10. Engel, Charles, 1996, The forward discount anomaly and the risk premium: A survey of recent evidence, Journal of Empirical Finance 3, 123 192.
11. Fama, Eugene F., 1984, Forward and spot exchange rates, Journal of Monetary Economics 14, 319 338.
12. Fama, Eugene F., and Kenneth R. French, 2002, The equity premium, Journal of Finance 57, 637 659.
13. Farhi, Emmanuel, and Xavier Gabaix, 2008, Rare disasters and exchange rates, Working paper, Harvard University and New York University.
14. Froot, Kenneth A., 1993, Currency hedging over long horizons, NBER Working Paper No. 4355.
15. Glen, J., and Philippe Jorion, 1993, Currency hedging for international portfolios, Journal of Finance 48, 1865 1886.
16. Gourinchas, Pierre-Olivier, and Helene Rey, 2007, From world banker to world venture capitalist: The U.S. external adjustment and the exorbitant privilege, in Richard Clarida, ed. : G7 Current Account Imbalances: Sustainability and Adjustment (University of Chicago Press, Chicago).
17. Hansen, Lars Peter, and Robert J. Hodrick, 1980, Forward rates as optimal predictors of future spot rates: An econometric analysis, Journal of Political Economy 88, 829 853.
18. Hodrick, Robert J., 1987, The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (Harwood Academic Publishers, Chur, Switzerland).
19. Jorion, Philippe, 1989, Asset allocation with hedged and unhedged foreign stocks and bonds, Journal of Portfolio Management 15, 49 54.
20. Jurek, Jakub, and Luis M. Viceira, 2006, Optimal value and growth tilts in long-horizon portfolios, NBER Working Paper No. 12017.
21. Lustig, Hanno N., and Adrien Verdelhan, 2007, The cross-section of foreign currency risk premia and consumption growth risk, American Economic Review 97, 89 117.
22. Merton, Robert C., 1971, Optimum consumption and portfolio rules in a continuous-time model, Journal of Economic Theory 3, 373 413.
23. Pavlova, Anna, and Roberto Rigobon, 2007, Asset prices and exchange rates, Review of Financial Studies 20, 1139 1181.
24. Perold, André F., and Evan C. Schulman, 1988, The free lunch in currency hedging: Implications for investment policy and performance standards, Financial Analysts Journal 44, 45 50.
25. Siegel, Jeremy J., 1972, Risk, interest rates, and the forward exchange, Quarterly Journal of Economics 86, 303 309.
26. Solnik, Bruno H., 1974, An equilibrium model of the international capital market, Journal of Economic Theory 8, 500 524.
27. Stulz, René M., 1981, A model of international asset pricing, Journal of Financial Economics 9, 383 406.
28. Thomas, Lee R., 1990, The Currency-Hedging Debate (IFR Books, London, United Kingdom).
29. Tobin, James, 1958, Liquidity preference as behavior towards risk, Review of Economic Studies 25, 68 85.
30. Walker, Eduardo, 2008, Strategic currency hedging and global portfolio investments upside down, Journal of Business Research 61, 657 668.