Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86108
Authors: 
Bos, Charles S.
Mahieu, Ronald J.
van Dijk, Herman K.
Year of Publication: 
2001
Series/Report no.: 
Tinbergen Institute Discussion Paper 01-018/4
Abstract: 
Internationally operating firrns naturally face the decision whether or not to hedge the currencyrisk implied by foreign investments. In a recent paper, Bos, Mahieu and van Dijk (2000) evaluatethe returns from optimal and alternative currency hedging strategies, for a series of 7 models,using Bayesian inference and decision analysis. The models differ in the way time-varying means,variances or the unconditional error distributions are incorporated. In this extension, we comparethe hedging decisions and financial returns and utilities as they result from the modellingassumptions and the attitudes towards risk.
Subjects: 
Exchange rates
risk management
Bayesian analysis
JEL: 
C11
C44
E47
G15
Document Type: 
Working Paper

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