Topic
Hedge
About: Hedge is a research topic. Over the lifetime, 108 publications have been published within this topic receiving 601 citations.
Papers published on a yearly basis
1 / 2
Papers
TL;DR: Low interest rate currencies provide a hedge against domestic aggregate consumption growth risk.
Abstract: Aggregate consumption growth risk explains why low interest rate currencies do not appreciate as much as the interest rate differential and why high interest rate currencies do not depreciate as much as the interest rate differential. Domestic investors earn negative excess returns on low interest rate currency portfolios and positive excess returns on high interest rate currency portfolios. Because high interest rate currencies depreciate on average when domestic consumption growth is low and low interest rate currencies appreciate under the same conditions, low interest rate currencies provide domestic investors with a hedge against domestic aggregate consumption growth risk. (JEL E21, E43, F31, G11)
488 citations
TL;DR: In this article , the authors investigated the hedge and safe haven property of a wide range of clean energy indices against two distinct types of cryptocurrencies based on their energy consumption levels, termed "dirty" and "clean".
185 citations
TL;DR: In this article , the authors quantified the hedge and safe haven features of bond markets for multiple cryptocurrency indices from June 2014 to April 2021 to highlight whether bond markets offer hedging facilities to uncertainty indices of cryptocurrencies.
Abstract: PurposeThis study quantified the hedge and safe haven features of bond markets for multiple cryptocurrency indices from June 2014 to April 2021 to highlight whether bond markets offer hedging facilities to uncertainty indices of cryptocurrencies.Design/methodology/approachThe authors employed the methodology of Baur and McDermott (2010) and AGDCC-GARCH model to measure the hedge and safe-haven characteristics of three bond markets (BBGT, SPGB and SKUK) for three uncertainty indexes of cryptocurrencies (UCRPR, UCRPO and ICEA).FindingsThe authors find that bond markets are neither hedge nor safe havens except for SKUK which is a safe haven investment for cryptocurrency indices and offers substantial diversification during the periods of economic fragility. In addition, the hedge effectiveness of SPGB outperforms other bonds during crisis periods and provides sufficient diversification potential for cryptocurrency indices.Practical implicationsThe findings are important for policymakers, regulatory bodies, financial firms and investors in assessing hedge and safe haven characteristics of bond markets against cryptocurrency indices.Originality/valueEmploying the novel methodology of AGDCC-GARCH with three different bond markets and three uncertainty indices of cryptocurrencies, the current study adds to the existing strand of literature in terms of quantifying hedge and safe-haven attributes of bond markets for cryptocurrency uncertainty indexes.
126 citations
TL;DR: In this paper , a Vector Autoregression (VAR) model was used to study the relationship between inflation, uncertainty, and Bitcoin and gold prices, finding that Bitcoin appreciates against inflation (or inflation expectation) shocks, confirming its inflation hedging property claimed by investors.
124 citations
TL;DR: In this paper , the authors examined the impact of geopolitical risk on various types of securities and found that green bonds, gold, silver, Swiss franc, and real estate proved to be the most resistant to geopolitical risk fluctuations.
111 citations
Performance Metrics
| Year | Papers |
|---|---|
| 2025 | 100 |
| 2024 | 158 |
| 2023 | 290 |
| 2022 | 371 |
| 2021 | 25 |
| 2020 | 12 |