Multinational Companies'Hedging Effectiveness of Foreign Exchange Risk:A Quantitative Comparison Study

To investigate hedging effectiveness of multinational companies in respect of using currency derivatives,the author adapts an innovative and multi layers GJR-GARCH-based model.This model broke down the currency risk faced by MNCs in each business area and added six control variables other than foreign sales ratio,all these variables have been proved to be related to MNCs'currency risk exposure but was not included into previous models.Moreover,this model absorbs advantages of several models built in previous studies and combines them into a whole,intact model.This paper also employed a wide research scope,using a sample of 48 non-financial and 28 financial firms headquartered in USA.Also,comparison between financial and non-financial firms is an innovation of our research.According to the result,hedging of non-financial companies in respect of currency risk is ineffective,and financial companies are more likely using currency derivatives to speculate.

Discovering interlinkages between major cryptocurrencies using high‑frequency data: new evidence from COVID‑19 pandemic

Through the application of the VAR-AGARCH model to intra-day data for three cryptocurrencies(Bitcoin,Ethereum,and Litecoin),this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 period and the COVID-19 period.We also estimate the optimal weights,hedge ratios,and hedging effectiveness during both sample periods.We find that the return spillovers vary across the two periods for the Bitcoin–Ethereum,Bitcoin–Litecoin,and Ethereum–Litecoin pairs.However,the volatility transmissions are found to be different during the two sample periods for the Bitcoin–Ethereum and Bitcoin–Litecoin pairs.The constant conditional correlations between all pairs of cryptocurrencies are observed to be higher during the COVID-19 period compared to the pre-COVID-19 period.Based on optimal weights,investors are advised to decrease their investments(a)in Bitcoin for the portfolios of Bitcoin/Ethereum and Bitcoin/Litecoin and(b)in Ethereum for the portfolios of Ethereum/Litecoin during the COVID-19 period.All hedge ratios are found to be higher during the COVID-19 period,implying a higher hedging cost compared to the pre-COVID-19 period.Last,the hedging effectiveness is higher during the COVID-19 period compared to the pre-COVID-19 period.Overall,these findings provide useful information to portfolio managers and policymakers regarding portfolio diversification,hedging,forecasting,and risk management.

对冲效应弱化了土地利用变化对干流水文情势的影响——以中国金沙江流域为例

Global extreme hydrological events pose considerable challenges to the sustainable development of human society and river ecology.Land use/cover change(LUCC)is a visible manifestation of human activity and has caused substantial alterations in extreme hydrological regimes across rivers worldwide.The Jinsha River lies upstream of the Yangtze River and its hydrological variability has had profound socioeconomic and environmental effects.In this study,we developed Hydrological Simulation Program–FORTRAN(HSPF)and land-use simulation models of the entire watershed to simulate the effects of LUCC on hydrological extremes and quantify the inter-relationships among them.The main land-use changes between 1995 and 2015 were those associated with cropland,forest land,and grassland.Between 2015 and 2030,it is estimated that the coverage of forest land,grassland,construction land,and unused land will increase by 0.64%,0.18%,69.38%,and 45.08%,respectively,whereas that of cropland,water bodies,and snow-and ice-covered areas will decline by 8.02%,2.63%,and 0.89%,respectively.LUCC has had irregular effects on different hydrological regimes and has most severely altered stream flows.The responses of hydrological extremes to historical land-use change were characterized by spatial variation.Extreme low flows increased by 0.54%–0.59%whereas extreme high flows increased by 0%–0.08%at the lowest outlet.Responses to future land-use change will be amplified by a 0.72%–0.90%reduction in extreme low flows and a 0.08%–0.12%increase in extreme high flows.The hedging effect caused by irregular changes in tributary stream flow was found to alleviate the observed flow in mainstream rivers caused by land-use change.The extreme hydrological regimes were affected mainly by the net swap area transferred from ice and snow area to forest(NSAIF)and thereafter to cultivated land(NSAIC).Extreme low flows were found to be positively correlated with NSAIF and NSAIC,whereas extreme high flows were positively correlated with NSAIC and negatively correlated with NSAIF.