The Hedging Channel of Exchange Rate Determination
提出货币套期保值渠道，解释国家外部失衡如何影响汇率行为，模型显示投资者在财务困境时按净外国资产敞口增加套期保值，结合受限金融中介解释汇率波动，实证支持该渠道。
Abstract We propose the currency hedging channel that connects countries’ external imbalances to their exchange rate behavior. We present a model in which investors increase their currency hedging during periods of financial distress in proportion to their net foreign asset exposure. This behavior coupled with constrained financial intermediation explains observed relationships between gradually adjusting external imbalances and volatile spot and forward exchange rates. We find empirical support for the hedging channel in both the conditional and unconditional moments of exchange rates, option prices, and countries’ uses of Federal Reserve swap lines.