Currency hedging strategies for US investment in Japan and Japanese investment in the US

1993 ◽  
pp. 210-235 ◽  
Author(s):  
William T. Ziemba
Keyword(s):  
Currency Hedging ◽  
Hedging Strategies ◽  
Japanese Investment ◽  
The Us

scholarly journals Trusting relationships in international politics: No need to hedge

2014 ◽  
Vol 40 (4) ◽  
pp. 753-770 ◽  
Author(s):  
VINCENT CHARLES KEATING ◽  
JAN RUZICKA
Keyword(s):  
International Relations ◽  
International Politics ◽  
Hedging Strategies ◽  
The Us ◽  
Trusting Relationships

AbstractHow can trusting relationships be identified in international politics? The recent wave of scholarship on trust in International Relations answers this question by looking for one or the combination of three indicators – the incidence of cooperation; discourses expressing trust; or the calculated acceptance of vulnerability. These methods are inadequate both theoretically and empirically. Distinguishing between the concepts of trust and confidence, we instead propose an approach that focuses on the actors' hedging strategies. We argue that actors either declining to adopt or removing hedging strategies is a better indicator of a trusting relationship than the alternatives. We demonstrate the strength of our approach by showing how the existing approaches would suggest the US-Soviet relationship to be trusting when it was not so. In contrast, the US-Japanese alliance relationship allows us to show how we can identify a developing trusting relationship.

scholarly journals Currency Hedging Strategies Using Dynamic Multivariate GARCH

2012 ◽  
Author(s):  
Chia-Lin Chang ◽  
Lydia González Serrano ◽  
Juan-Angel Jiménez-Martin
Keyword(s):  
Multivariate Garch ◽  
Currency Hedging ◽  
Hedging Strategies

scholarly journals DETERMINANTS OF G7 AND CHINESE STOCK MARKET RETURNS DURING COVID-19 OUTBREAK

2020 ◽  
Vol S.I. (1) ◽  
pp. 256-266
Author(s):  
Ahmed JERIBI ◽  
◽  
Mohamed FAKHFEKH ◽  
Keyword(s):  
Growth Rate ◽  
Stock Market ◽  
Financial Markets ◽  
Portfolio Diversification ◽  
Chinese Stock Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
Hedging Strategies ◽  
The Us

The purpose of this paper is to discuss the determinants of G7, and Chinese stock market returns during the COVID-19 outbreak. We find that Bitcoin and Ethereum can generate benefits from portfolio diversification and hedging strategies for G7 financial investors in early 2020. Our result reveals that Gold is neither hedge nor haven during the COVID-19 pandemic. In addition, the results indicated that the expected volatility of the US stock market has no effect on the Japanese and Chinese financial markets. Finally, our results suggest that the growth rate of confirmed COVID-19 cases and deaths has an impact only on the US stock market.

scholarly journals Currency Risk Hedging With Time-Varying Correlations

2011 ◽  
Vol 1 (4) ◽  
Author(s):  
Binbin Guo
Keyword(s):  
Foreign Currency ◽  
Dynamic Structure ◽  
Multivariate Garch ◽  
Time Varying ◽  
Currency Risk ◽  
Risk Hedging ◽  
Hedging Strategies ◽  
Multivariate Garch Model ◽  
The Us ◽  
Optimal Dynamic

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-family: Times New Roman; font-size: x-small;">This paper studies currency risk hedge when volatilities and correlations of forward currency contracts and underlying assets returns are all time-varying.<span style="mso-spacerun: yes;">&nbsp; </span>A multivariate GARCH model with time-varying correlations is adopted to fit the dynamic structure of the conditional volatilities and correlations. The conditional risk-minimizing hedge strategies are estimated for an international portfolio of the US, UK and Switzerland stocks, for the period of February of 1973 to March of 2002. The empirical results show that the optimal dynamic hedging strategies can capture partially the currency fluctuations, and greatly reduce the currency risk and enhance the risk-adjusted returns of the portfolio with significant foreign currency exposures. </span></p>

scholarly journals Can cryptocurrencies be a safe haven during the novel COVID-19 pandemic? Evidence from the Tunisian Stock Market

2020 ◽  
Vol 3 (1) ◽  
pp. 14-31
Author(s):  
Ahmed Jeribi ◽  
Yasmin Snene Manzli
Keyword(s):  
Growth Rate ◽  
Stock Market ◽  
Portfolio Diversification ◽  
The Novel ◽  
Safe Haven ◽  
Market Returns ◽  
Stock Market Returns ◽  
Ols Regression ◽  
Hedging Strategies ◽  
The Us

In this paper, we discuss the behavior of stock market returns in Tunisia during the COVID-19 outbreak. Using the OLS regression, we find that Bitcoin act as a hedge and Ethereum as a diversifier for Tunisia’s stock market before the COVID-19 outbreak; however, Bitcoin and Ethereum cannot generate benefits from portfolio diversification and hedging strategies for financial investors during the COVID-19. Moreover, Dash, Monero, and Ripple act as hedges before the COVID-19 outbreak and as diversifiers during this pandemic. Our results reveal that gold acts as a hedge and diversifier before the pandemic, but it's neither hedge nor a haven during the COVID-19 pandemic. Besides, the results indicated that the expected volatility of the US stock market has an impact on the Tunisian stock market. Finally, our results indicate that the growth rate of the COVID-19 confirmed cases and deaths harms Tunisia's stock market.

Japan plays catch-up in Central Asia

2015 ◽  
Keyword(s):  
Central Asia ◽  
Nuclear Energy ◽  
Prime Minister ◽  
Content Type ◽  
Eurasian Economic Union ◽  
Japanese Investment ◽  
The Us ◽  
Silk Road Economic Belt ◽  
Catch Up ◽  
Economic Union

Subject Japan-Central Asia ties. Significance Prime Minister Shinzo Abe will make a five-nation tour of Central Asia in August -- the first since Prime Minister Junichiro Koizumi's in 2006. With the Russia-led Eurasian Economic Union in effect as of January 1 and China fleshing out its plans for a 'New Silk Road Economic Belt', Japan presents itself as a 'third option' that could dilute China's and Russia's predominance. Impacts Opportunities for Japanese investment will grow, especially in the field of nuclear energy. Security ties could grow under the Abe government's defence reforms, 'proactive pacificism' and new interest in counter-terrorism. South Korea presents itself as another 'third option' and other countries are becoming more active too, even as the US presence recedes.

CURRENCY HEDGING STRATEGIES USING MULTIVARIATE GARCH MODELS

2016 ◽  
Vol 78 (4-4) ◽  
Author(s):  
Muhammad Azri Mohd ◽  
Abdul Halim Mohd Nawawi ◽  
Siti Aida Sheikh Hussin ◽  
Siti Nurul Ain Ramdzan
Keyword(s):  
Exchange Rates ◽  
Multivariate Garch ◽  
Hedging Strategy ◽  
Currency Hedging ◽  
Forward Markets ◽  
Futures Contract ◽  
Hedging Strategies ◽  
Multivariate Garch Models ◽  
Japanese Yen ◽  
Optimal Hedge

Hedging on futures or forward markets is an important tool to reduce risk. Thus, in order to manage the currency risk, it is important to have a suitable hedging strategy. Hedging is a means to offset potential losses on investment by making the second investment, which is expected to move in the opposite way in the financial markets. Therefore, this study aims to identify the relationship between spot and futures contract exchange rates and spot and forwards contract exchange rates. Secondly, calculate the optimal hedge ratio in order for effective optimal portfolio design and hedging strategy using CCC, DCC and Diagonal-BEKK models. The data consist of daily closing prices of spot, futures and 3-month forwards contract for currencies within ASEAN and ASEAN+3 countries. The empirical results revealed that the best model for hedging effectiveness is found to be CCC and DCC. These two models are able to reduce the variance 59.64 percent for Japanese Yen, 97.42 percent for Malaysia Ringgit, 66.14 percent for Singapore Dollar and 93.42 for Philippine Peso. Hence, it can be suggested to investors to hedge Malaysia Ringgit since the currency has the highest reduction in risk.

Disciplining the Hegemon

2021 ◽  
pp. 138-163
Author(s):  
Julian Germann
Keyword(s):  
Foreign Exchange ◽  
World Economy ◽  
Carter Administration ◽  
Organized Labor ◽  
Japanese Investment ◽  
External Pressures ◽  
The Us ◽  
The World ◽  
Anglo American ◽  
The Uk

This chapter argues that in order to protect its export model from the dangers of imported inflation, Germany strove to commit the US to monetary and fiscal rigor. To this end, German officials blocked the attempts of the Carter administration to organize a global Keynesian expansion, and scaled back their foreign exchange interventions in support of a weakening dollar. Both actions helped push the US into the Volcker Shock, which deflated the world economy and launched the attack on organized labor. The chapter concludes that the neoliberal experiment in the US, paralleled and reinforced by similar attempts in the UK, was late and lucky. Rather than the outcome of a decade-long domestic shift—seamless and sealed off from the world outside the Anglo-American heartland—the neoliberal counter-revolution was driven in part by the external pressures imposed by Germany, and subsequently sustained by a bout of Japanese investment.

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