A note on currency-hedging

Rodrigo Alfaro and Natan Goldberger

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: In this note we analyze if currency hedging reduces the volatility of a portfolio. Based on historical data (2000m1-2018m12), we found that optimal levels of hedging will depend on the degree of risk of the underlying asset, being full-hedging for the case of high-quality sovereign bonds and very small hedging for equity indexes. Finding are consistent across both US and EU assets and different Latam currencies.

Date: 2020-01
New Economics Papers: this item is included in nep-cba and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.bcentral.cl/documents/33528/133326/DTBC_859.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:859

Access Statistics for this paper

More papers in Working Papers Central Bank of Chile from Central Bank of Chile Contact information at EDIRC.
Bibliographic data for series maintained by Alvaro Castillo ().