TY  - JOUR
AU  - Campbell,John Y.
AU  - Medeiros,Karine Serfaty-de
AU  - Viceira,Luis M.
TI  - Global Currency Hedging
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 13088
PY  - 2007
Y2  - May 2007
UR  - http://www.nber.org/papers/w13088
L1  - http://www.nber.org/papers/w13088.pdf
N1  - Author contact info:
John Y. Campbell
Morton L. and Carole S.
Olshan Professor of Economics
Department of Economics
Harvard University
Littauer Center 213
Cambridge, MA 02138
Tel: 617/496-6448
Fax: 617/495-7730
E-Mail: john_campbell@harvard.edu

Karine Serfaty-de Medeiros
Harvard University
E-Mail: kdemed@fas.harvard.edu

Luis M. Viceira
George E. Bates Professor
Harvard Business School
Baker Library 367
Boston, MA 02163
Tel: 617/495-6331
Fax: 617/496-7379
E-Mail: lviceira@hbs.edu
AB  - Over the period 1975 to 2005, the US dollar (particularly in relation to the Canadian dollar) and the euro and Swiss franc (particularly in the second half of the period) have moved against world equity markets. Thus these currencies should be attractive to risk-minimizing global equity investors despite their low average returns. The risk-minimizing currency strategy for a global bond investor is close to a full currency hedge, with a modest long position in the US dollar. There is little evidence that risk-minimizing investors should adjust their currency positions in response to movements in interest differentials.
ER  -