Publications
Publications
- February 2010
- Journal of Finance
Global Currency Hedging
By: John Y. Campbell, Karine Serfaty-de Medeiros and Luis M. Viceira
Abstract
Over the period 1975 to 2005, the US dollar (particularly in relation to the Canadian dollar) and the euro and Swiss franc (particularly in the second half of the period) have moved against world equity markets. Thus these currencies should be attractive to risk-minimizing global equity investors despite their low average returns. The risk-minimizing currency strategy for a global bond investor is close to a full currency hedge, with a modest long position in the US dollar. There is little evidence that risk-minimizing investors should adjust their currency positions in response to movements in interest differentials.
Keywords
Currency; Equity; Financial Markets; International Finance; Investment Return; Globalized Markets and Industries; Risk Management
Citation
Campbell, John Y., Karine Serfaty-de Medeiros, and Luis M. Viceira. "Global Currency Hedging." Journal of Finance 65, no. 1 (February 2010): 87–121.