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Author/Editor:
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Schmittmann, Jochen M.
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Publication Date:
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June 01, 2010
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Electronic Access:
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Free Full text
(PDF file size is 1,583KB).
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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Summary:
This paper examines the benefits from hedging the currency exposure of international investments in single- and multi-country equity and bond portfolios from the perspectives of German, Japanese, British and American investors. Over the period 1975 to 2009, hedging of currency risk substantially reduced the volatility of foreign investments at a quarterly investment horizon. Contrary to previous studies, the paper finds that at longer investment horizons of up to five years the case for hedging for risk reduction purposes remained strong.In addition to its impact on risk, hedging affected returns in economically meaningful magnitudes in some cases.
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Order a print copy
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Series:
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Working Paper No. 10/151
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Subject(s):
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Exchange risk | Foreign exchange transactions | Foreign investment | International capital markets | Risk management | Multiple currency practices | Germany | Japan | United Kingdom | United States
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Author's Keyword(s):
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Currency hedging | international investments | currency risk |
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English
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Publication Date:
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June 01, 2010
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Format:
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Paper
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Stock No:
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WPIEA2010151
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Pages:
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44
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Price:
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US$18.00 )
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Please address any questions about this title to
publications@imf.org
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