Foreign currency exposure and the hedging possibilities for pension funds
Notes increasing investment by US pension funds in foreign currency denominated assets and briefly outlines previous research on the links between various types of assets currencies. Uses cointegration methodologies on 1978-1996 futures data for commodities and four currencies (Swiss, German, Britis...
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| Veröffentlicht in: | Managerial finance 1998, Vol.24 (12), p.1-15 |
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| container_title | Managerial finance |
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| creator | Chaudhry, Mukesh K Christie-David, Rohan A Sackley, William H |
| description | Notes increasing investment by US pension funds in foreign currency denominated assets and briefly outlines previous research on the links between various types of assets currencies. Uses cointegration methodologies on 1978-1996 futures data for commodities and four currencies (Swiss, German, British and Canadian) to assess the long-run stochastic relationships between them; and suggests that currencies are more closely cointegrated with soft commodities and precious metals than with livestock. Considers the implications for hedging and diversification by pension fund managers trying to manage risk. |
| doi_str_mv | 10.1108/03074359810765723 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0307-4358 |
| ispartof | Managerial finance, 1998, Vol.24 (12), p.1-15 |
| issn | 0307-4358 1758-7743 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_30989539 |
| source | Emerald Complete Journals; Standard: Emerald eJournal Premier Collection |
| subjects | Accounting research Agricultural commodities Cointegration Cointegration analysis Commodities Currencies Currency Diversification Equilibrium Error correction & detection Foreign investment Hedging Investigations Investment advisors Livestock Macroeconomics Pension funds Pension plans Portfolio investment Precious metals Prices Profit sharing plans Profits Risk exposure Risk management Studies Time series Trends Variables |
| title | Foreign currency exposure and the hedging possibilities for pension funds |
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