Hedging exchange rate risk: The multiperiod case

Udo Broll*, Jack E. Wahl, Itzhak Zilcha

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


We analyse production and hedging in a multiperiod framework for a risk-averse exporting firm facing a random exchange rate. We extend the separation theorem to this multiperiod model. Our study shows that unbiased currency forward markets in all periods do not imply standard full hedging. Under some conditions, the firm tends to overhedge compared to the one-period hedging models.

Original languageEnglish
Pages (from-to)365-380
Number of pages16
JournalResearch in Economics
Issue number4
StatePublished - Dec 1999


  • Exchange rate risk, production, forward markets, multiperiod hedging.


Dive into the research topics of 'Hedging exchange rate risk: The multiperiod case'. Together they form a unique fingerprint.

Cite this