برای پوشش و یا عدم پوشش: عملکرد استراتژی های ساده برای پوشش ریسک ارز

This paper investigates the efficacy of simple strategies for hedging foreign exchange risk. The strategies are: to always hedge, to never hedge, to hedge when the forward rate is at a premium, to hedge only when the premium is large, and a strategy based upon relative purchasing power parity. We find a strategy which hedges based upon large premia generally outperforms the other strategies for the period 1989–1998. Moreover, we document that in every sample and time horizon period, an unhedged strategy performs better than a hedged strategy. We illustrate our results using a data set of five countries.