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1、ForeignCurrencyDerivativesversusForeignCurrencyDebtandtheHedgingPremiumAmritJudgea,*Correspondingauthor.Tel:++44(0)2084116344;Fax:++44(0)2084114739;E-mail:a.judge@mdx.ac.ukandEphraimClarkbaEconomicsGroup,MiddlesexUniversity,LondonNW44BT,UKbAccountingandFinance
2、Group,MiddlesexUniversity,LondonNW44BT,UKThisdraft:20June200752ForeignCurrencyDerivativesversusForeignCurrencyDebtandtheHedgingPremiumABSTRACTThispapercomparestheeffectonfirmvalueofdifferentforeigncurrency(FC)financialhedgingstrategiesidentifiedbytypeofexposur
3、e(shortorlongterm)andtypeofinstrument(forwards,options,swapsandforeigncurrencydebt).Wefindthathedginginstrumentsdependonthetypeofexposure.ShortterminstrumentssuchasFCforwardsand/oroptionsareusedtohedgeshorttermexposuregeneratedfromexportactivitywhileFCdebtandF
4、Cswapsintoforeigncurrency(butnotintodomesticcurrency)areusedtohedgelongtermexposurearisingfromassetslocatedinforeignlocations.Ourresultsrelatingtothevalueeffectsofforeigncurrencyhedgingindicatethatforeigncurrencyderivativesuseincreasesfirmvaluebutthereisnohedg
5、ingpremiumassociatedwithforeigncurrencydebthedging,exceptwhencombinedwithforeigncurrencyderivatives.Takenindividually,FCswapsgeneratemorevaluethanshorttermderivatives.KEYWORDS:InternationalFinance,RiskManagement,ForeignCurrencyHedging,ForeignCurrencyDerivative
6、s,ForeignCurrencyDebt,ForeignCurrencySwaps.JELClassification:G15,G30,G32521.IntroductionCorporatehedgingofforeigncurrency(FC)exposurehasbecomeinternationalstandardpracticeforfirmswithforeignoperationsForUSfirmstherearestudiessuchasWysocki(1995),Géczyetal.(1997
7、),Goldbergetal.(1998),HowtonandPerfect(1998),Graham&Rogers(2000),AllayannisandOfek(2001)andBartrametal.(2004).Studiesofnon-USfirmsincludeHagelin(2003)onSwedishfirmsandPramborg(2005)onSwedishandKoreanfirms,BerkmanandBradbury(1996)onNewZealandfirms,NguyenandFaff
8、(2002)onAustralianfirms,Bartrametal.(2004)onfirmsof48differentcountries,andHeaneyandWinata(2005)onAustralianfirms.andthereisgrowingevidencethathedgingfirmshavebeensuccessfulinreduc
