Over the Hedge: Do Exporters Practice Selective Hedging?
利用企业出口的纵向数据，研究了出口商汇率套期保值决策的决定因素，发现企业会根据近期汇率趋势调整套期保值比率，表现出选择性套期保值行为。
Abstract What determines exporters’ exchange rate hedging decisions and do exporters attempt to “time the market?” We use a unique longitudinal dataset on firm exports to find the determinants of exporters’ currency hedging choices. Determinants include financial fragility, prior hedging experience, and natural hedge opportunities. We also find that firms alter their hedging ratios when the currency has recently trended in one direction. This behavior is ubiquitous for all but large firms and for all times other than when the exchange rate is near its extreme historical values. These results are consistent with most firms exhibiting (sub‐optimal) selective hedging behavior. © 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:321–338, 2015