Dynamic Hedging in Currency Crisis

Malte Krüger
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Malte Krüger: The University of Western Ontario Department of Economics, https://economics.uwo.ca/
Authors registered in the RePEc Author Service: Malte Krueger

No 9806, University of Western Ontario, Departmental Research Report Series from University of Western Ontario, Department of Economics

Abstract: Garber and Spencer have argued that dynamic hedging may lead to perverse results when interest rates are used to defend an exchange rate. This paper shows that interest rate changes have little effects on dynamic hedgers when volatility is high.

Keywords: Dynamic hedging; central bank intervention; currency crisis (search for similar items in EconPapers)
JEL-codes: F3 (search for similar items in EconPapers)
Date: 1998
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Journal Article: Dynamic hedging in currency crisis (1999)
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