Global Currency Hedging / John Y. Campbell, Karine Serfaty-de Medeiros, Luis M. Viceira.

Format:

Book

Author/Creator:

Campbell, John Y.

Contributor:

National Bureau of Economic Research.

Serfaty-de Medeiros, Karine.

Viceira, Luis M.

Series:

Working Paper Series (National Bureau of Economic Research) no. w13088.

NBER working paper series no. w13088

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2007.

Summary:

Over the period 1975 to 2005, the US dollar (particularly in relation to the Canadian dollar) and the euro and Swiss franc (particularly in the second half of the period) have 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 US dollar. There is little evidence that risk-minimizing investors should adjust their currency positions in response to movements in interest differentials.

Notes:

Print version record

May 2007.