Global Currency Hedging

Luis Viceira (), Karine Serfaty-de Medeiros and John Campbell

Scholarly Articles from Harvard University Department of Economics

Abstract: 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.

Date: 2009
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Published in Journal of Finance

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Related works:
Journal Article: Global Currency Hedging (2010)
Working Paper: Global Currency Hedging (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:hrv:faseco:3153308

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