FX-hedging for Latin American investors

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2024-02-09 DOI:10.1016/j.ememar.2024.101117

Rodrigo Alfaro , Natan Goldberger

引用次数: 0

Abstract

In this paper, we conduct an empirical evaluation of currency hedging (FXH) strategies designed for Latin American investors managing portfolios of US assets with performance measured in their local currency. By analyzing the volatility and value-at-risk (VaR) of the hedged portfolio, our results reveal that FXH is inefficient in lowering portfolio risk when applied to underlying foreign risk-assets like equities and low credit quality corporate bonds. Conversely, a significant reduction in volatility is evident with FXH when the investments are in safer assets, such as high-grade government and corporate bonds.

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拉丁美洲投资者的外汇套期保值

在本文中，我们对货币对冲（FXH）策略进行了实证评估，这些策略是为拉丁美洲投资者管理以当地货币衡量业绩的美国资产组合而设计的。通过分析对冲投资组合的波动性和风险价值（VaR），我们的结果表明，当应用于股票和低信用质量公司债券等相关外国风险资产时，货币对冲在降低投资组合风险方面效率低下。相反，当投资于较安全的资产（如高等级政府债券和公司债券）时，外汇套期保值明显降低了波动性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

审稿时长

100 days

期刊介绍： The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.