Foreign Currency for Long-Term Investors  

Oleh:

Campbell, John Y. ; Viceira, Luis M. ; White, Joshua S.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 113 no. 486 (2003), page C1-C25.
Topik: FOREIGN CURRENCY; foreign currency; long - term investors
Fulltext: C1.pdf (177.36KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.10 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Conventional wisdom holds that conservative investors should avoid exposure to foreign currency risk. Even if they hold foreign equities, they should hedge the currency exposure of these positions and hold only domestic Treasury bills. This paper argues that the conventional wisdom may be wrong for long – term investors. Domestic bills are risky for long – term investors, because real interest rates vary over time and bills must be rolled over at uncertain future interest rates. This risk can be hedged by holding foreign currency if the domestic currency tends to depreciate when the domestic real interest rate falls. Empirically this effect is important.

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