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• W2139220802 abstract "How investors should hedge the currency risk component of their international stock portfolios is the subject of much debate. In this paper, we add to the existing literature in a number of ways. First, we focus on conditional portfolio and hedging decisions by using a recursive vector autoregression model to identify a shock arising in the money, equity or currency markets. We treat all of the international markets as integrated and examine how a shock in one asset market is propagated across several goods and asset markets. The results reveal that money and equity market shocks cause long-run movements in both equity and currency returns. Second, we examine how an investor can use this joint predictability to design optimal international stock portfolios and currency hedges. The approach is Bayesian so the investor accounts for the large amount of parameter uncertainty while incorporating his beliefs about international asset return predictability. Despite having priors that are strongly weighted against the predictability of both equity and currency returns, asset market shocks cause the investor to shift his portfolio allocation and hedging strategy in order to maximize his expected utility. Third, we isolate the economic signiÞcance of the predictability of currency returns from that of equity returns by having the investor manage a currency overlay portfolio. We use this to extend the results of Eichenbaum and Evans (1995) on long-run currency returns and show that the investor values his ability to condition on equity market shocks as much as he values conditioning on money market shocks." @default.
• W2139220802 created "2016-06-24" @default.
• W2139220802 creator A5050875505 @default.
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• W2139220802 date "2001-01-01" @default.
• W2139220802 modified "2023-09-27" @default.
• W2139220802 title "Conditional Currency Hedging and Asset Market Shocks" @default.
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• W2139220802 hasPublicationYear "2001" @default.
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