Volatility and dynamic currency hedging금융 시장 변동성과 동태적 외환 포트폴리오에 관한 연구

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We propose a dynamic and efficient global currency portfolio that can significantly decrease the risk of an exogenous portfolio of world equities. We demonstrate that our dynamic conditional correlation model, which is an application of Engle (2002), can decrease the estimated return variance of a portfolio of global equities by about 20 percent relative to the static model of Campbell et al. (2010). The Euro, the US Dollar, the Swiss Franc, and the Japanese Yen all move in a manner opposite to the world equity market, implying that they are safe-haven currencies. However, since the US financial crisis, the importance of the Japanese Yen in a global currency portfolio has grown, whereas that of the Euro has diminished. Increases in foreign-exchange-market volatility and US stock-market volatility have increased the importance of safe-haven currencies in optimal currency portfolios, and the impact of foreign-exchange-market volatility is more significant than that of US stockmarket volatility. We also find a spillover effect from both US stock-market and US foreign-exchange-market volatilities to the foreign-exchange-market volatility of other currencies.
Advisors
Min, Hong Ghiresearcher민홍기researcher
Description
한국과학기술원 :기술경영학부,
Publisher
한국과학기술원
Issue Date
2020
Identifier
325007
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 기술경영학부, 2020.8,[iii, 47 p. :]

Keywords

Dynamic optimal currency portfolio▼aRisk-management demand for currencies▼aSafe-haven currency▼aGlobal currency hedging▼aStock-market volatility▼aForeign-exchange-market volatility▼aUS financial crisis; 동태적 최적 외환 포트폴리오▼a외환 리스크 관리 수요▼a안전 화폐▼a글로벌 외환 헤징▼a주식시장 변동성▼a외환 시장 변동성▼a미국 금융위기

URI
http://hdl.handle.net/10203/284398
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=924458&flag=dissertation
Appears in Collection
MG-Theses_Ph.D.(박사논문)
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