Interest rate hedging: an empirical test of alternative strategies

Interest rate hedging: an empirical test of alternative strategies

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Article ID: iaor201522736
Volume: 6
Issue: 3
Start Page Number: 187
End Page Number: 197
Publication Date: Sep 1983
Journal: Journal of Financial Research
Authors: , ,
Keywords: investment, statistics: empirical
Abstract:

For hedging, financial and agricultural futures contracts differ in their usefulness. This paper presents a new hedging approach uniquely appropriate to financial futures that better fits the typical hedging situation confronted by those wishing to hedge interest rate risk. The superiority of this new hedging strategy is demonstrated empirically by comparing the strategy with several other methods currently in use.

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