Selective foreign exchange hedging for Korean importers
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초록
This study tries to examine the selective hedging performances of fixed-term contracting and hedging with futures available to Korean importers facing exchange rate risks. A simple forecasting rule is formulated based on moving averages that generate the signals for selective hedging. A simulation technique is adopted to perform the empirical analysis with the sample data for the period of January 2002 to March 2013. According to the empirical results, the selective hedging strategies produce a maximum of 6 percent reduction in the averages of effective exchange rate flows compared to no-hedging type strategies. However, the maximum percent reductions in variances by these hedging types become prominent, ranging from zero to 56 percent depending on the hedging period.
Abstract
This study tries to examine the selective hedging performances of fixed-term contracting and hedging with futures available to Korean importers facing exchange rate risks. A simple forecasting rule is formulated based on moving averages that generate the signals for selective hedging. A simulation technique is adopted to perform the empirical analysis with the sample data for the period of January 2002 to March 2013. According to the empirical results, the selective hedging strategies produce a maximum of 6 percent reduction in the averages of effective exchange rate flows compared to no-hedging type strategies. However, the maximum percent reductions in variances by these hedging types become prominent, ranging from zero to 56 percent depending on the hedging period.
참고문헌 (33)
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