| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3451 |
| DP3451 Corporate Leverage and Product Differentiation Strategy | |
| Stefan Arping; Gyöngyi Lóránth | |
| 发表日期 | 2002-07-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | Conventional wisdom holds that conservative investors should avoid exposure to foreign currency risk. Even if they hold foreign equities, they should hedge the currency exposure of these positions and should hold only domestic Treasury bills. This Paper argues that the conventional wisdom may be wrong for long-term investors. Domestic bills are risky for long-term investors because real interest rates vary over time, and bills must be rolled over at uncertain future interest rates. This risk can be hedged by holding foreign currency if the domestic currency tends to depreciate when the domestic real interest rate falls, as implied by the theory of uncovered interest parity. Empirically this effect is important and can lead conservative long-term investors to hold more than half their wealth in foreign currency. |
| 主题 | Financial Economics |
| 关键词 | Home bias Portfolio choice Foreign exchange rates Intertemporal hedging demand Uncovered interest parity |
| URL | https://cepr.org/publications/dp3451 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532469 |
| 推荐引用方式 GB/T 7714 | Stefan Arping,Gyöngyi Lóránth. DP3451 Corporate Leverage and Product Differentiation Strategy. 2002. |
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