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Corporate currency hedging and currency crises

Röthig, Andreas ; Semmler, Willi ; Flaschel, Peter :
Corporate currency hedging and currency crises.
[Online-Edition: http://econstor.eu/bitstream/10419/22530/1/ddpie_147.pdf]
In: Darmstadt Discussion Papers in Economics , 147 . Darmstadt
[Report], (2005)

Offizielle URL: http://econstor.eu/bitstream/10419/22530/1/ddpie_147.pdf

Kurzbeschreibung (Abstract)

We examine the impact of corporate currency hedging on economic stability by introducing hedging activity in a Mundell-Fleming-Tobin framework for analyzing currency and financial crises. The ratio between hedged and unhedged firms is modelled depending on firm size as well as hedging costs. The results indicate that, with an increasing fraction of hedged firms in an economy, the magnitude of a crisis decreases and from a specific hedging level onwards currency crises are ruled out. In order to improve corporate risk management access to hedging instruments should be made possible and hedging costs should be reduced.

Typ des Eintrags: Report
Erschienen: 2005
Autor(en): Röthig, Andreas ; Semmler, Willi ; Flaschel, Peter
Titel: Corporate currency hedging and currency crises
Sprache: Englisch
Kurzbeschreibung (Abstract):

We examine the impact of corporate currency hedging on economic stability by introducing hedging activity in a Mundell-Fleming-Tobin framework for analyzing currency and financial crises. The ratio between hedged and unhedged firms is modelled depending on firm size as well as hedging costs. The results indicate that, with an increasing fraction of hedged firms in an economy, the magnitude of a crisis decreases and from a specific hedging level onwards currency crises are ruled out. In order to improve corporate risk management access to hedging instruments should be made possible and hedging costs should be reduced.

Reihe: Darmstadt Discussion Papers in Economics
Band: 147
Ort: Darmstadt
Freie Schlagworte: Mundell-Fleming-Tobin model, currency crises, currency hedging, hedging costs
Fachbereich(e)/-gebiet(e): 01 Fachbereich Rechts- und Wirtschaftswissenschaften
01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete > Fachgebiet Makroökonomie und Finanzmärkte
01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete
Hinterlegungsdatum: 20 Nov 2008 08:24
Offizielle URL: http://econstor.eu/bitstream/10419/22530/1/ddpie_147.pdf
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JEL Classi¯cation: E32, E44, F31, F41

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