Meeting the "Highly effective expectation" criterion for hedge accounting

Journal of Derivatives

Volumn 7, Issue 4, 2000, Pages 79-87

  Kawaller, Ira G ^a   Koch, Paul D ^b  

^a Kawaller and Associates   (United States)

^b UNIVERSITY OF KANSAS   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84978623466     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2000.319136     Document Type: Article

References (11)

1. "Basing the Expectation of Highly Effective Offset on a Shorter Period Than the Life of the Derivative." Financial Accounting Standards Board, DIG Issue F5, November 23, 1999.
2. Campbell, John Y., and Robert J. Shiller. "Yield Spreads and Interest Rate Movements: A Bird's Eye View." Review of Economic Studies, 58 (1991), pp. 495-514.
3. Canabarro, Eduardo. "A Note on the Assessment of Hedge Effectiveness Using the Dollar Offset Ratio Under FAS 133." Goldman Sachs research paper, June 1999.
4. Greene, William H. Econometric Analysis, 4th Edition. New York: Prentice-Hall, 2000.
5. Hansen, Lars Peter. "Large Sample Properties of Generalized Method of Moments Estimators." Econometrica, 50 (1982), pp. 1029-1054.
6. Hull, John. Introduction to Futures and Options Markets, 3rd Edition. Englewood Cliffs, NJ: Prentice-Hall, 1998.
7. Kawaller, Ira G. "Choosing the Best Interest Rate Hedge Ratio." Financial Analysts Journal, September/October 1992.
8. Newey, Whitney K., and Kenneth D. West. "A Simple Positive Semi-Definite Heteroscedasticity and Autocorrelation Consistent Covariance Matrix." Econometrica, 55 (1987), pp. 703-708.
9. Richardson, Matthew, and Tom Smith. "Tests of Financial Models in the Presence of Overlapping Observations." Review of Financial Studies, 4 (1991), pp. 227-254.
10. "Statement of Financial Accounting Standards No. 133: Accounting for Derivative Instruments and Hedging Activities." Stamford, CT: FASB, 1998.
11. Wong, M.H. Franco. "The Association Between SFAS 119 Derivatives Disclosures and the Foreign Exchange Risk Exposure of Manufacturing Firms." Journal of Accounting Research, forthcoming, 2000.