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Cubrir o no Cubrir: ¿Ese es el Dilema?

Author

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  • Rodrigo Alfaro
  • Natán Goldberger

Abstract

In this paper we analyze if currency hedging reduces risk. Based on historical data (1997- 2011) and using coherent measures of risk, we found that in equity portfolios it does not imply a reduction on risk. In contrast, for fixed-income portfolios the optimal hedging is 100%. Last finding is also robust to both USD and EUR portfolios

Suggested Citation

  • Rodrigo Alfaro & Natán Goldberger, 2012. "Cubrir o no Cubrir: ¿Ese es el Dilema?," Working Papers Central Bank of Chile 662, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:662
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    File URL: https://www.bcentral.cl/documents/33528/133326/DTBC_662.pdf
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    References listed on IDEAS

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    1. Carlo Acerbi & Dirk Tasche, 2002. "Expected Shortfall: A Natural Coherent Alternative to Value at Risk," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 31(2), pages 379-388, July.
    2. Mills,Terence C. & Markellos,Raphael N., 2008. "The Econometric Modelling of Financial Time Series," Cambridge Books, Cambridge University Press, number 9780521883818.
    3. Mills,Terence C. & Markellos,Raphael N., 2008. "The Econometric Modelling of Financial Time Series," Cambridge Books, Cambridge University Press, number 9780521710091, January.
    4. Valentín Délano & Felipe Jaque, 2005. "Spreads Soberanos: ¿Diferencian los Inversionistas Internacionales entre Economías Emergentes?," Working Papers Central Bank of Chile 332, Central Bank of Chile.
    5. Augusto Castillo R. & Rafael Aguila, 2005. "Estrategias Optimas De Cobertura En Presencia De Incertidumbre En Costos Y Cantidad," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 8(2), pages 88-110.
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    Cited by:

    1. Luis Felipe Céspedes & Jorge A. Fornero & Jordi Galí, 2013. "Non-Ricardian Aspects of Fiscal Policy in Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Luis Felipe Céspedes & Jordi Galí (ed.),Fiscal Policy and Macroeconomic Performance, edition 1, volume 17, chapter 8, pages 283-322, Central Bank of Chile.

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