The Efficiency of a Cross Hedge Model for Currencies Among Asian Four Dragons

吳 靖東, 許 和鈞, Sou-Shan Wu

Research output: Contribution to journalJournal Article peer-review

Abstract

  The cross hedge ratio of exchange rate is usually estimated using Ederington’s risk minimization model (1979). However, the resulting hedge effectiveness didn’t show well in general. After the exploration of the exchange rate valuation model, a single factor adjusted model and multiple factors adjusted model are proposed to enhance the hedge effectiveness. The data from Jan. 1990 to Dec. 2000 for the Asian four dragons (Taiwan, Singapore, Hong Kong, Korea) are employed to test the efficiency of the proposed models. Our results indicate that the estimated ability of the adjusted models outperform the traditional model.
Original languageAmerican English
Pages (from-to)305-316
JournalAsia Pacific Management Review
Volume6
Issue number3
StatePublished - 2001

Keywords

  • Asian Fur Dragons
  • Cross Hedge Ratio
  • Exchange Rate
  • Hedge Effectiveness
  • Risk Minimization Model

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