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Corporate currency hedging and currency crises

Röthig, Andreas ; Semmler, Willi ; Flaschel, Peter (2008)
Corporate currency hedging and currency crises.
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Item Type: Report
Type of entry: Primary publication
Title: Corporate currency hedging and currency crises
Language: English
Date: 20 November 2008
Place of Publication: Darmstadt
Series: Darmstadt Discussion Papers in Economics
Series Volume: 147
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.

Uncontrolled Keywords: Mundell-Fleming-Tobin model, currency crises, currency hedging, hedging costs
URN: urn:nbn:de:tuda-tuprints-47795
Additional Information:

JEL Classi¯cation: E32, E44, F31, F41; Erstellt April 2005

Classification DDC: 300 Social sciences > 330 Economics
Divisions: 01 Department of Law and Economics
01 Department of Law and Economics > Volkswirtschaftliche Fachgebiete > Fachgebiet Makroökonomie und Finanzmärkte
01 Department of Law and Economics > Volkswirtschaftliche Fachgebiete
Date Deposited: 20 Nov 2008 08:24
Last Modified: 25 Oct 2023 09:09
URI: https://tuprints.ulb.tu-darmstadt.de/id/eprint/4779
PPN: 378323636
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