Röthig, Andreas ; Semmler, Willi ; Flaschel, Peter (2008)
Corporate currency hedging and currency crises.
Report, Erstveröffentlichung
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: | 2008 |
| Autor(en): | Röthig, Andreas ; Semmler, Willi ; Flaschel, Peter |
| Art des Eintrags: | Erstveröffentlichung |
| Titel: | Corporate currency hedging and currency crises |
| Sprache: | Englisch |
| Publikationsjahr: | 2008 |
| Ort: | Darmstadt |
| Reihe: | Darmstadt Discussion Papers in Economics |
| Band einer Reihe: | 147 |
| URL / URN: | http://tuprints.ulb.tu-darmstadt.de/4779 |
| 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. |
| Freie Schlagworte: | Mundell-Fleming-Tobin model, currency crises, currency hedging, hedging costs |
| URN: | urn:nbn:de:tuda-tuprints-47795 |
| Zusätzliche Informationen: | JEL Classi¯cation: E32, E44, F31, F41; Erstellt April 2005 |
| Sachgruppe der Dewey Dezimalklassifikatin (DDC): | 300 Sozialwissenschaften > 330 Wirtschaft |
| Fachbereich(e)/-gebiet(e): | 01 Fachbereich Rechts- und Wirtschaftswissenschaften 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete > Fachgebiet Makroökonomie und Finanzmärkte |
| Hinterlegungsdatum: | 31 Jan 2016 20:55 |
| Letzte Änderung: | 25 Okt 2023 09:09 |
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