Hedge ratios help explain swings in dollar – BIS study
Data on eurozone funds helps explain currency’s reaction to tariff announcements, authors say
Low hedge ratios maintained by eurozone equity funds help to explain the unusual swings in the dollar exchange rate after the April 2025 tariff announcements, research published by the Bank for International Settlements has found.
The researchers – Inês Lindoso, Andreas Schrimpf, Vladyslav Sushko and Toma Tomov –say funds’ “de facto hedge ratios” can be inferred from the exchange rate sensitivity of their returns, after accounting for returns generated by the underlying assets. Such an approach
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