loveshihongyu
2021-10-07 15:13老師好，我想問(wèn)一下為什么外國(guó)債為什么更需要hedge外匯呢？為什么the correlation between foreign-currency returns and foreign-currency asset returns is greater ffor fixed-income portfolios than for equity portfolios呢？謝謝
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Chris Lan助教
2021-10-08 14:27
該回答已被題主采納
同學(xué)你好
因?yàn)閭蛥R率都和利率有關(guān)。原版書(shū)上的解釋是債券和匯率都和利率強(qiáng)相關(guān)，所以他們的相關(guān)性就高，相關(guān)性高就是要么漲都漲，要么跌都跌，所以更需要對(duì)沖。因?yàn)槲覀儾幌矚g要么跌都跌。以下是原文的內(nèi)容。
It is often asserted that the correlation between foreign-currency returns and foreign-currency asset returns tends to be greater for fixed-income portfolios than for equity portfolios. This assertion makes intuitive sense: both bonds and currencies react strongly to movements in interest rates, whereas equities respond more to expected earnings.
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