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Measuring the Hedge Ratio: A GCC Perspective

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  • Ahmad Bash
  • Abdullah M. Al-Awadhi
  • Fouad Jamaani

Abstract

In this paper, we examine the effectiveness of minimising the variance of the hedge ratio using different econometric models for the GCC currencies under money-market hedging and cross-currency hedging. Specifically, we determine whether different model specifications and estimation methods yield different hedge-effectiveness results. In other words, does the sophistication of the model improve the effectiveness of the hedge? Our results show that these econometric models fail either to add value or to improve the effectiveness of the hedge.

Suggested Citation

  • Ahmad Bash & Abdullah M. Al-Awadhi & Fouad Jamaani, 2016. "Measuring the Hedge Ratio: A GCC Perspective," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(7), pages 1-1, July.
    • Handle: RePEc:ibn:ijefaa:v:8:y:2016:i:7:p:1
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    References listed on IDEAS

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    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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