Cross hedging in currency forward markets

Udo Broll

No 308, Discussion Papers, Series II from University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy"

Abstract: In a framework for risk management a model of an international firm under exchange rate uncertainty is discussed. The firm can cross-hedge the exchange rate risk by using forwards of other country's currencies correlated to the spot exchange rate in question. The study investigates the implications of hedging exchange rate risk of less common currencies for an exporting firm.

Keywords: exchange rate risk; currency forward markets; cross-hedge (search for similar items in EconPapers)
JEL-codes: F21 F31 (search for similar items in EconPapers)
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:kondp2:308

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