Daily exchange rate behaviour and hedging of currency risk
构建贝叶斯模型，分析每日汇率时间序列特征对货币风险管理的影响，比较不同对冲策略的收益与效用，发现建模汇率回报的时变特征可改善对冲效果。
Abstract We construct models which enable a decision maker to analyse the implications of typical time series patterns of daily exchange rates for currency risk management. Our approach is Bayesian where extensive use is made of Markov chain Monte Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy‐tailed disturbance densities) are investigated in relation to the hedging strategies. Consequently, we can make a distinction between statistical relevance of model specifications and the economic consequences from a risk management point of view. We compute payoffs and utilities from several alternative hedge strategies. The results indicate that modelling time‐varying features of exchange rate returns may lead to improved hedge behaviour within currency overlay management. Copyright © 2000 John Wiley & Sons, Ltd.