Global Currency Hedging

By John Y. Campbell, Karine Serfaty-de Medeiros, Luis M. Viceira. 2010

282 citations recorded by the source corpus.

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Financial Exchange Rates and International Currency Exposures (2010, background): “For instance, authors such as Tille (2003), Gourinchas and Rey (2007a), Lane and MilesiFerretti (2003, 2005, 2007b) have highlighted that the foreign liabilities of the United States are mostly denominated in dollars while there is a substantial non-dollar component in its foreign assets.”
Country Size, Currency Unions, and International Asset Returns (2012, unknown): “Some more recent examples are Tesar (1993); Stockman and Tesar (1995); Baxter, Jerman, and King (1998); and Collard et al. (2007). The monetary extension of the model borrows heavily from a more recent literature that introduces market segmentation into the traditional complete-markets setup: Alvare”
Predictability of Currency Carry Trades and Asset Pricing Implications (2013, unknown): “Our interest in a commodity-based predictor is motivated by the analysis in Chen and Rogoff (2003) and Chen, Rogoff, and Rossi (2010), and also anecdotal evidence that commodity investing often coincides with appetite for risk-taking.”
Countercyclical Currency Risk Premia (2013, unknown): “…premia focuses on the latter (conditional) expected returns [e.g., see Lewis (1995) for a survey], the former (unconditional) average returns are also important [e.g. Campbell et al. (2010)] and account for between a third and a half of the carry trade profits, as reported in Lustig et al. (2011).”