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Journal Article

Optimal Currency Hedging for International Equity Portfolios

October 18, 2018 - Jacob Boudoukh Matthew P. Richardson Ashwin Thapar Franklin Wang

We explore currency exposures in international equity portfolios by decomposing the optimal currency portfolio into a “hedge portfolio,” which minimizes equity volatility, and an “alpha seeking portfolio” based on the well-documented currency styles of value, momentum and carry.

Journal Article

The Canadian Dollar as a Reserve Currency

April 2, 2014 - Lukasz Pomorski Francisco Rivadeneyra Eric Wolfe

A clear reflection of Canada’s relative economic resilience during the global financial crisis of 2007‒2009 is the growth in the share of foreign exchange reserves that other countries hold in Canadian-dollar securities, particularly those issued by the Government of Canada.

Working Paper

Trade, Exchange-Rate Exposure and the Currency Composition of Debt

December 1, 2012 - Michael Michaux

Using a firm-level dataset of traded Mexican firms, this paper develops a quantitative structural model of trade and the currency composition of debt for firms in a small open economy with exchange rate risk.

Working Paper

Carry Trades and Currency Crashes

November 1, 2008 - Markus K. Brunnermeier Stefan Nagel Lasse H. Pedersen

Is there a strong link between a currency carry strategy and crash risk? We find that investing in high-interest-rate currencies while borrowing in low-interest-rate currencies delivers negatively skewed returns.