Hedging versus not hedging: strategies for managing foreign exchange transaction exposure

Transcription

1 Hedging versus no hedging: sraegies for managing foreign exchange ransacion exposure Sco McCarhy Senior Lecurer in Finance Queensland Universiy of Technology Brisbane, Queensland, Ausralia Conac: Tel.: ; Fax: ; s.mccarhy@qu.edu.au Absrac This paper compares a number of sraegies for managing foreign exchange exposures. The sraegies are never hedging, hedging every exposure using a forward exchange conrac, and hedging on selecive occasions using a forward exchange conrac. Wih regard o he selecive hedging, he decision as o wheher o hedge or no depends on he fuure spo exchange rae as deermined by a number of forecasing echniques. The echniques include he random walk, he large premia model and a volailiy model. The paper considers he USD vis a vis he AUD, SGD and JPY. The resuls are mixed and show ha for he period 199 o 003 he Ausralian exporer is beer off always hedging while he Singapore and Japanese exporers are beer off never hedging. The various managemen sraegies are compared using Sharpe s model and he minimum variance model hough i seems he resuls are no sensiive o use of eiher. JEL classificaion: F31 Keywords: Selecive foreign exchange currency hedging; random walk; large premia model; volailiy model. 1. Inroducion Foreign Exchange (FX) ransacion exposure exiss when firms have financial obligaions due o be seled in foreign currencies. For example, a firm may be due o be paid foreign currency (FC) in 3 monhs for some goods i expored. When he FC is received, hey will need o be convered ino he firm s home currency (HC). If during he 3 monh period he value of he HC has appreciaed agains he FC, he firm will receive less HC for each uni of FC. Depending on he magniude of he HC appreciaion, his can be cosly for he firm. In his case, he firm can proec iself agains his oucome by managing he exposure uilizing any of a large choice of alernaives.

2 The mos complee soluion is for he firm o ensure ha he exposure is no creaed in he firs insance. For he firm his could be achieved by billing he buyer in HC. The problem of ransacion exposure is hen passed on o he buyer. For various reasons including, lack of marke power or poenial lose of compeiiveness, his may no be a viable opion. Assuming hen ha he exposure is creaed, in he mos general erms he firm can choose beween inernal hedges and exernal hedges. Inernal hedges include leading and lagging of paymens and foreign currency accouns while exernal hedges include derivaives such as forwards, fuures, opions and swaps. Forward FX conracs (FEC) are he simples of he exernal hedges and he mos used. The populariy may be parly explained by heir simpliciy of use, over he couner rading ha permis exac specificaions regarding daes and amouns and minimal explici cos. The purpose of his paper is o es he hedging effeciveness of FECs. Consisen wih exising lieraure, he FECs performance will be compared o ha of an unhedged posiion or fully exposed posiion. One of he immediae difficulies faced in making a saemen regarding he effeciveness of various hedging sraegies is ha a definiion of effeciveness is no heerogeneous among hedgers. For one hedger, a good hedge may be one ha reduces risk o some degree wih nil or minimal impac on reurn. Anoher hedger may be prepared o accep a significan reducion in expeced reurn in exchange for complee cerainy. As a resul, any research such as he curren paper ha has as is purpose he idenificaion of he beer decision, mus clearly define a he ouse wha is bes. Two approaches are used here. Firs, from he radiional finance uiliy maximizaion framework he risk/reurn radeoff is considered. Drawing on he hread of lieraure wih regard o equiy porfolios and diversificaion and hedging, he Sharperaio model of Howard and D Anonio (1984, 1987) is used. Secondly, aking a narrower view of hedging, assuming ha i is only concerned wih risk reducion, he minimumvariance model of Ederingon (1979) is used. The second purpose of his paper is o expand on he exposure managemen analysis above, by inroducing selecive hedging sraegies ha are implemened as a resul of forecass of he fuure spo rae. In he case above he hedger was passive. Tha is, he decision was beween he wo polar exremes of hedging every exposure wih a FEC or remaining unhedged; here was no middle ground. In conras, a selecive hedger makes a judgemen on each exposure. For example, if i is believed ha he exchange rae will move in a favourable direcion, he exposure would remain unhedged. If on he oher hand he exchange rae is expeced o move in an unfavourable direcion, he exposure should be hedged. In his paper, he random walk and volailiy models amongs ohers will be used o forecas he fuure spo rae. The forecass will deermine wheher a paricular exposure should be hedged wih an FEC or remain unhedged. The conribuions of his research are, firs, i exends he work of Morey and Simpson (001) by considering he USD vis a vis a number of significan Pacific Rim/Asian currencies. Second, he curren research expands he se of forecasing models used o make he decision o hedge or no, inroducing he volailiy model which is also combined wih he random walk forward premia rule. In addiion o examining a differen daa se o Morey and Simpson, he performance measures of Jong e al. (1997) are used. Morey and Simpson consider FEC bu measure heir performance wih ex pos efficien froniers and a simple reurn per uni of risk measure. Jong e al. compare fuures o remaining unhedged bu use he Sharperaio and minimumvariance as measures.

3 The res of he paper is designed as follows. Secion discusses he relevan lieraure. Secion 3 discusses he various hedging sraegies and he daa used. Secion 4 discusses he resuls. Secion 5 concludes he paper.. Lieraure review A number of sreams of lieraure can be idenified in he area of FX exposure managemen/hedging. Mos fundamenal is he debae as o wheher firms should hedge. This debae has been well covered in he lieraure and finance exs, such as Smih, Smihson and Wilford (1990). The acceped wisdom is ha he firm can add value by hedging due o marke imperfecions and economies of scale. Anoher sream of lieraure uses surveys o invesigae wheher firms hedge and why, characerisics of firms ha hedge, and wha mehods/insrumens are used o hedge. A paricular sream of relevance o his paper concerns passive and selecive hedging. The finance lieraure is rich wih papers ha preach he benefis o invesors of inernaional equiy and deb invesmen. Eun and Resnick (1994) exended his work by considering he impac on he invesmen resuls when exchange rae risk is hedged wih FECs. While he resuls were mixed for various asse classes, he sudy did show improvemen of he riskreurn oucome when he inernaional invesmens were hedged. Glen and Jorion (1993) concurred, hough when hey exended he analysis o include he use of Black s (1990) universal hedge raio found hedging added lile improvemen. Eun and Resnick (1997) nex inroduced he disincion beween passive and selecive hedging. They discuss he lieraure concerning he forward rae being an unbiased predicor of he fuure spo and he subsequen lieraure idenifying he risk premium in he forward rae ha makes hem in fac biased esimaors. Eun and Resnick idenify Messe and Rogoff s (1983) work on he efficiency of he random walk ha showed i superior o or a leas he equal o any forecasing echnique as offering a selecive hedge indicaor. The implicaion being ha he curren spo is he bes indicaor of he fuure spo. For an exporer receiving a foreign currency, he random walk would sugges only hedging by locking in he forward rae when i is higher (ha is, a more favourable rae for he exporer) han he expeced spo. Eaker and Gran (1990) used his sraegy and found i produced superior resuls o always hedging. Up o he work by Eun and Resnick (1997) he evidence was mixed in ha mos sudies found some improvemen hough he resuls ranged from large improvemens o minimal (and in some cases none) for various porfolios. For example, Glen and Jorion (1993) found ha selecive sraegies offered no improvemen over a fully hedged sraegy for a porfolio of he world bond or world sock index. The conribuion of Eun and Resnick (1997) was o firsly uses he radiional passive hedge of FECs bu also inroduce a passive sraegy using pu opions. They also considered a number of varians of he random walk as he basis for he selecive sraegies. Their resuls, using he Sharpe measure of porfolio performances, show ha he selecive sraegies based on he random walk offer superior oucomes for an inernaionally diversified sock porfolio han eiher of he passive sraegies or remaining unhedged. Jong e al (1997) sudied he hedging performance of FX fuures. They noed however ha [naïve] hedging wih currency fuures ransforms currency risk ino basis risk, and hence heir focus was o es for he opimal hedge raio. Morey and Simpson (001) have recenly exended his work by considering differen daa and expanding he se of selecive hedging sraegies. They consider hedging only when he forward premium is hisorically large and when a relaive purchasing power pariy model indicaes an

4 incorrecly priced bilaeral exchange rae. Using ex pos efficiency froniers and reurn per uni of risk o compare he sraegies hey find ha for a 1 monh ime period he large premia sraegy (by he erminology used so far in he curren paper his is a selecive sraegy) gives he bes resul, superior o he selecive sraegy based upon he random walk. In addiion, hey noe ha in all cases he unhedged sraegy performs beer han he always hedge sraegy. 3. Hedging sraegies evaluaed and daa The firs wo sraegy used in he sudy are passive. The firs is o no hedge. As discussed above, his means ha he firm s exposed amoun is subjec o he movemens of he relevan exchange rae. The second passive sraegy is o always hedge he exposure. In his paper when a decision is made o hedge i will be done wih a FEC. Tha is, a value will be locked in oday a which he foreign currency receip can be exchanged ino he home currency a a nominaed laer dae. Of he selecive sraegies sudied, he firs is based upon he random walk. This heory suggess ha oday s spo rae is he bes forecas of he fuure spo rae. If he forward rae is a beer rae han curren spo rae, an FEC will be used. If however he curren spo is more favourable han he forward rae he posiion will be lef unhedged. A varian of his model is he large premia as used by Morey and Simpson (001) and McCarhy (00). This hedging sraegy uses an FEC when he forward margin is posiive and hisorical large. The logic of his is ha here will be imes when he firm hedged bu in hindsigh would have been beer off exposed. Tha is, iniially he forward rae is a a premium bu ends up lower han he spo rae. This will occur less frequenly if he premium needs o be larger and resul in fewer hedges han under he random walk sraegy. An average premia will be calculaed from an ou of sample se of exchange rae daa and he curren forward premium (discoun) will be compared o his. An adjusmen is also made o his average premia by muliplying i by 1.5. This increases he required margin before a hedge would be placed and so furher reduces he disadvanage of hedging when he spo rae subsequenly moves in a favourable direcion afer a FEC has been used. The average forward margin is also adjused by 0.5, which increases he number of hedges compared o he random walk bu requires less han for he large premia. Nex, a varian of he volailiy model of McCarhy (00) is used ha recommends hedging when he spo rae displays excessive volailiy. Excessive volailiy is deemed o exis when he moving average of he exchange raes shor erm volailiy is greaer han he moving average of he exchange raes long erm volailiy. The shor erm volailiy is measured by he moving average of he previous 6 monhs exchange rae versus 1 monhs for he long erm. Equaion 1 shows he model and he applicaion for he shor run calculaion. T Σ = 1 E E or E E E E 1 1 E + E E E + E E 3 E + E E 4 (1)

5 Where: E = he exchange rae a ime. E1 = he exchange rae a ime 1. The final selecive sraegies evaluaed combine he 3 large premia rules and volailiy. If on any dae eiher suggess hedging, a FEC will be used. These mehods herefore favour a conservaive approach as eiher of he rules can rigger implemening a hedge. Only if boh sugges no hedging will he exposure remain unhedged. The sudy applies he above rules o monhly FX daa from 199 o 003. Specifically, he bilaeral raes considered are he USD vis a vis he AUD, he Japanese yen (JPY) and he Singapore dollar (SGD). For he JPY and he SGD he oal period consided is from February 1993 unil January 003. To calculae he volailiy model, he FX daa for each of he previous 1 monhs was also required. Due o some daa resricions, he AUD analysis covered he period November 1993 o January 003. Again, he 1 monhs prior o November 1993 were used for he volailiy model. Given he large period considered, and he fac ha i included he Asian financial crisis which clearly impaced on each of hese economies and hence exchange raes o various degrees, wo subperiods were also creaed. The firs subperiod examined up o he end of June The second subperiod considered from July 1997, generally regarded as he sar of he crisis beginning in Thailand, unil January 003. The exchange raes used are sourced from Bloomberg and represen end of day mid raes. As per marke convenion he AUD / USD rae is in American erms where he AUD is he uni. The SGD and JPY / USD quoes are in European erms, hus he USD is he uni. This disincion becomes imporan when inerpreing he resuls. If i is assumed ha in each scenario he analysis considers a home counry firm exporing and receiving USD, he Ausralian exporer would be beer off as he uni (AUD) depreciaed, while he Japanese and Singaporean exporers would prefer o see he uni (USD) appreciae. As menioned in he inroducion, comparisons are made beween each of he hedging sraegies and he unhedged opion. This allows conclusions o be drawn as o wheher hedging is beer han remaining unhedged and also as o which hedge, if any, is superior. Because on any occasion here is an equal likelihood ha he acual fuure spo rae will urn ou o be more or less han he locked in forward rae, inuiively i would be expeced ha he selecive alernaives should show o be he beer choice, han eiher of he passive polar exremes of no hedging and always using a FEC. Wheher or no his occurs will depend on he accuracy of heir forecas. Two measuremens of beer are employed. Firs, he minimum variance model of Ederingon (1979) is used. This model, equaion, compares he variance of he unhedged reurns o he variances of he various hedged reurns. The basis of he measure is ha less volailiy, as measured by he variance, is preferred o more volailiy. From equaion 3 i follows ha a posiive oucome indicaes ha he hedge has a lower variance and under his decision rule would be preferred. A negaive oucome indicaes ha he hedge increases he volailiy of he reurns and herefore he firm would have been beer off remaining unhedged.

6 HE σ = 1 mv where HEmv = σ rp σ rs σ rp rs hedging effeciveness of he minimumvariance measure = he variance of he reurns of he hedged posiion = he variance of he reurns of he unhedged posiion () Secondly, he Sharperaio model of Howard and D Anonio (1984, 1987) is used. In is sandard form he Sharpe raio provides a risk adjused performance measure as shown in equaion 3. R i R f S = σ i Where S = he Sharpe measure Ri = he reurn for porfolio i during he ime period Rf = he riskfree rae during he ime period σ i = he sandard deviaion of he rae of reurn for porfolio i during he ime period (3) I can be used as in equaion 4 o measure he improvemen in performance ha hedging offers, (if any), over remaining unhedged. HEs = Where r f r h r s σ h σ s r f [( r r ) σ ] σ r ] + / h f σ = he riskfree rae of reurn = he rae of reurn for he hedged posiion s h = he rae of reurn for he spo (unhedged) posiion = he sandard deviaion of he hedged posiion = he sandard deviaion of he spo (unhedged) posiion s s (4) The performance of he unhedged alernaive is judged by he mean and variance of he monhly reurns of he spo rae. Being unhedged, he firm will exchange he foreign currency (FC) receips a he hen curren spo rae. Effecively he cos of his sraegy is he difference beween

7 he home currency (HC) equivalen a he ime he conrac was enered (0) and when he foreign currency is received (1). If he FC has appreciaed vis a vis he HC, each uni of FC will buy more HC and hence will represen a negaive cos, ha is, a benefi. Conversely, if he FC has depreciaed vis a vis he HC, each uni of FC will buy less HC and hence represen a cos. When hedged wih a FEC, he real cos of he hedge is an opporuniy cos. This is because when he conrac is enered, he firm receiving he FC would immediaely ener he FEC and hence forgo he opporuniy o benefi from a favourable spo rae movemen. Tha is, if he FC appreciaes, he firm would have been beer off wihou he hedge. Thus, he rue cos of he FEC per HC worh of FC sold forward is represened by equaion 5 and from hese he mean and variance of each alernaive is calculaed for inpu ino equaion 4. f1 e1/e0 (5) Where f1 = he forward rae locked in a ime 0. e1 = he spo rae a ime 1. e0 = he spo rae a ime Resuls The resuls are presened in wo secions: he Sharpe raio effeciveness and he minimum variance model effeciveness. Sharpe raio effeciveness Table 1 shows he Sharpe raio effeciveness and able he minimum variance model effeciveness. Wihin hese are separae subables for each of he 3 bilaeral raes. As menioned above, due o he convenional mehod of exchange rae quoing, a negaive answer for he AUD/USD rae indicaes a superior oucome compared o he unhedged posiion, while for he oher wo quoes, a negaive number indicaes an inferior oucome compared o he unhedged posiion. As discussed in he paper, he unhedged value and he always hedge wih an FEC hedge will represen he exreme values; he remaining hedges are combinaion of hese wo and hence heir values will always fall beween hese. A value of 0 indicaes he hedge offers he same oucome as remaining unhedged. INSERT TABLE 1 HERE For he AUD, he resuls for he Sharpe raio show ha for he full period using boh a 3 and 1 monh FEC, he always hedge alernaive offers superior oucomes han does he unhedged posiion. This is also he case for period 1, while for period boh oucomes are inferior. Wih regard o he oher selecive alernaives, for he 3 monh FEC, only he 3 combinaions reurn a poorer oucome for he full period. In period 1 all hedge alernaives are superior o remaining unhedged. shows mixed resuls. For he 1 monh FEC for he full period all (bar one) hedges produce superior resuls o remaining unhedged. This paern is he same for period 1. again produces less impressive oucomes for hedging.

8 In summary, he resuls across he 3 monh and 1 monh are consisen. The majoriy of oucomes (70%) show full hedging or selecive hedging wih FECs is superior o remaining unhedged. An ineresing resul is he srong performance of he random walk model. For boh he full period and for period 1 he random walk produces he larges (negaive) oucome; inferring he bes hedge. Recall from he above discussion ha he random walk heory suggess ha oday s spo rae is he bes forecas of he fuure spo rae. The implicaion for his sudy being, ha if he forward rae is a beer rae han he curren spo rae, an FEC will be used. If however he curren spo is more favourable han he forward rae he posiion will be lef unhedged. For he SGD, period 1 has he mos posiive resuls (a superior resul o remaining unhedged) for boh he 3 and 1 monh FECs. For he 3 monh FEC wihin period 1 all bu he volailiy and combinaion are superior o remaining unhedged wih he sronges performer being always hedging hen he random walk. For he full period and period here is lile improvemen from hedging. I is difficul wih any consisency o conclude ha for he SGD any hedging alernaive is superior o remaining unhedged, however when he 1 monh FEC is considered he random walk does offer some superior oucomes. For he JPY, here were no occasions where he always hedge offered a superior performance. For he 3 monh FEC however here were a number of posiive oucomes and some consisency wih he SGD in period 1. To summarise he Sharpe measure, for boh he AUD (always hedge) and he SGD (random walk) he resuls do show some degree of consisency regarding he superior oucome from hedging. Minimum variance model effeciveness Table shows ha as wih he Sharpe raio, he minimum variance model for he AUD shows a srong oucome in favour of hedging, wheher i is always wih an FEC or selecively. For boh he 3 and 1 monhs FECs for all periods, he always hedge produced a superior resul o remaining unhedged. In oal, 7% of hedges were superior o remaining unhedged. INSERT TABLE HERE For boh he SGD and JPY he resuls show ha on no occasions did he always hedge produce a superior oucome o remaining unhedged. Indeed, here was lile evidence o show ha he any hedge was consisenly superior o remaining unhedged. While here were some superior oucomes resuling from hedging, i is no possible o draw any srong conclusion oher han remaining unhedged was he superior performer (or no worse) in 80% of he cases for he SGD and in 85% of he cases for he JPY.

9 5. Conclusion The general conclusion ha can be drawn from he resuls is ha over he period considered, always hedging is preferable o remaining unhedged for an exporer wih an AUD exposure while remaining unhedged is superior o always hedging for boh he SGD and JPY. The finding concerning he AUD is supporive of hose who argue ha firms wih an exposure should always hedge as heir comparaive advanage is no in predicing exchange rae movemens. Wih regard o he selecive hedging alernaives, he random walk model performed well, especially so for AUD exposures. The conclusions drawn from he findings for he SGD and he JPY are no wha would generally be recommended o a firm. On a shor erm or one off basis his would be exremely dangerous as an adverse exchange rae movemen may cause subsanial financial damage, bu he resuls sugges ha for firms ha have exposures repeaedly over a long period of ime ha hedging offers no benefi. I seems ha he mehod of comparing he oucomes, eiher Sharpe or minimum variance, does no significanly impac on he findings. In erms of furher research, i would be of ineres o exend he sudy o consider oher currencies hough i does become difficul in his region wih fixed or a leas pegged exchange raes. A case sudy or some survey work may also be of ineres o discover wha firm s are acually doing, if anyhing, abou his issue. The issue will coninue o be an imporan one, as many of hese counries do experience volaile exchange rae movemens. A he ime of wriing he AUD is reaching a six year high vis a vis he USD.

10 References Black, F Equilibrium Exchange Rae Hedging, Journal of Finance, 45: Eaker, M. and. Gran, D Currency Hedging Sraegies for Inernaionally Diversified Equiy Porfolios. The Journal of Porfolio Managemen, Fall: 303. Ederingon, L The Hedging Performance of he New Fuures Markes, The Journal of Finance, 34(1): Eun, C. and Resnick, B Inernaional Diversificaion of invesmen Porfolios: US and Japanese Perspecives, Managemen Sciences, 40: Glen, J. and Jorion, P Currency Hedging for Inernaional Porfolios, Journal of Finance, 48: Howard, C. and D Anonio, L A RiskReurn Measure of Hedging Effeciveness, Journal of Financial and Quaniaive Analysis, (3): Howard, C. and D Anonio, L A RiskReurn Measure of Hedging Effeciveness: A Reply, Journal of Financial and Quaniaive Analysis, 19(1): Jong, A., De Roon, F. and Veld, C Ouofsample Hedging Effeciveness of Currency Fuures for Alernaive Models and Hedging Sraegies. The Journal of Fuures Markes, 17(7): McCarhy, S. 00. A Simulaion Analysis of he Performance of Foreign Exchange Exposure Managemen Sraegies Inernaional Journal of Business Sudies, Vol 10, no. : 744 Messe, R. and Rogoff, K Empirical Exchange Rae Models of he Sevenies: do hey fi ou of sample? Journal of Inernaional Economics, 14: 34. Morey, M. and Simpson, M. 001 To Hedge or no o Hedge: he performance of simple sraegies for hedging foreign exchange risk. Journal of Mulinaional Financial Managemen, 11: 133. Smih, C. Smihson, C. and Wilford, D Managing financial Risk, Journal of Applied Corporae Finance, 1(4): 748.

11 Table 1 Minimum Variance model (All by 100) AUD 3 monhs: Full AUD 1 monhs: Full SGD 3 monhs: Full SGD 1 monhs: Full

12 JPY 3 monhs: Full JPY 1 monhs: Full Table Sharpe Raio effeciveness (All by 100) AUD 3 monhs: Full AUD 1 monhs: Full

13 SGD 3 monhs: Full SGD 1 monhs: Full JPY 3 monhs: Full JPY 1 monhs: Full

14 DISCUSSION PAPERS IN ECONOMICS, FINANCE AND INTERNATIONAL COMPETITIVENESS Hedging versus No Hedging: Sraegies for Managing Foreign Exchange Transacion Exposure Sco McCarhy ISSN All correspondence o: Associae Professor Andrew C Worhingon Edior, Discussion Papers in Economic, Finance and Inernaional Compeiiveness School of Economics and Finance Queensland Universiy of Technology GPO Box 434, BRISBANE QLD 4001 Ausralia Telephone: Facsimile: a.worhingon@qu.edu.au Discussion Paper No. 16 November 003 Series edied by Associae Professor Andrew C Worhingon School of Economics and Finance

15 RECENT DISCUSSION PAPERS Higgs, H & Worhingon A, The prospecs for Geographic Diversificaion in UK Regional Propery Invesmen: Implicaions Derived from Mulivariae Coinegraion Analysis, No 111, June 00 Ryan, S K & Worhingon, A, TimeVarying Marke, Ineres Rae and Exchange Rae Risk in Ausralian Bank Porfolio Sock Reurns: A GARCHM Approach, No 11, June 00 Drew, M E, Subramaniam, N & ClowesDoolan, K, Sudens Experience o f he Honours Supervisory Relaionship: A Preliminary Invesigaion, No 113, June 00 Worhingon, A, KaySpraley, A & Higgs, H, Transmission of Prices and Price Volailiy in Ausralian Elecriciy Spo Markes: A mulivariae GARCH Analysis, No 114, July 00 Hernandez, J & Layon, A, The Regional Appropriaeness of Moneary Policy: An Applicaion of Taylor s Rule o Ausralian Saes and Terriories, No 115, Augus 00 Taing, S H & Worhingon, A, Comovemens Among European Equiy Secors: Seleced Evidence from he Consumer Discreionary, Consumer Saples, Financial, Indusrial and Maerials Secors, No 116, Sepember 00 Goffey, K & Worhingon, A, Moor Vehicle Usage Paerns in Ausralia: A Comparaive Analysis of Driver, Vehicle & Purpose Characerisics for household & Freigh Travel, No 117, Sepember 00 Lahiri, R, On Opimal moneary Policy in a Liquidiy Effec Model, No 118, Ocober 00 Valadkhani, A, Idenifying Ausralia s High Employmen Generaing Indusries, No 119, Ocober 00 Valadkhani, A, Modelling Demand for Broad Money in Ausralia, No 10, December 00 Worhingon, A & Higgs, H, The Relaionship Beween Energy Spo and Fuures Prices: Evidence from he Ausralian Elecriciy Marke, No 11, November 00 Li, S, A Valuaion Model for Firms wih Sochasic Earnings, No 1, November 00 Higgs, H & Worhingon, A, Tess of he Random Walk Hypohesis for Ausralian Elecriciy Spo Prices: An Applicaion Employing Muliple Variance Raio Tess, No 13, November 00 Robinson, M, Bes Pracice in Performance Budgeing, No 14, November 00 Lee, B, Oupu and Produciviy Comparisons of he Wholesale and Reail Trade Secor: US and Ausralia, 1991 o 1999, No 15, November 00 Drew, M E, & Sanford, J D, Risk Superannuaion Managemen in Ausralia: Risk, Cos and Alpha, No. 16, January 003 Drew, M E, & Sanford, J D, A Review of Ausralia's Compulsory Superannuaion Scheme afer a Decade, No. 17, January 003 Drew, M E, & Naughon, T, & Veerarghavan, M, Asse Pricing in China: Evidence from he Shanghai Sock Exchange, No. 18, January 003 Clemens, A, & Drew, M E, Invesor Expecaions and Sysemaic Risk, No. 19, January 003 Drew, M, Superannuaion Funds: The Fees and Performance Debae, No. 130, January 003 Valadkhani, A, Hisory of Macroeconomic Modelling: Lessons from Pas Experience, No. 131, January 003 Valadkhani, A, Long and ShorRun Deerminans of Money Demand in New Zealand: Evidence from CoInegraion Analysis, No. 13, January 003 Anderson, J, Opimal f and Porfolio Reurn Opimisaion in US Fuures Markes, No. 133, January 003 Anderson J, A Tes of WeakForm Marke Efficiency in Ausralia Bank Bill Fuures Calendar Spreads, No. 134, January 003 Aruman, S, The Effeciveness of Foreign Exchange Inervenion in Ausralia: A Facor Model Approach wih GARCH Specificaions, No 135, January 003 Lahiri, R, A Furher Exploraion of Some Compuaional Issues in Equilibrium Business Cycle Theory, No 136, February 003 Valadkhani, A, How Many Jobs Were Los Wih he Collapse of Anse?, No. 137, February 003

16 Drew, M E, Naughon, T, & Veerarghavan, M, Is Idiosyncraic Volailiy Priced? Evidence from he Shanghai Sock Exchange, No. 138, February 003 Valadkhani, A, Does he Term Srucure Predic Ausralia's Fuure Oupu Growh? No. 139, February 003 Worhingon, A, & Higgs, H, A Mulivariae GARCH analysis of he Domesic Transmission of Energy Commodiy Prices and Volailiy: A comparison of he Peak and Offpeak s in he Ausralian Elecriciy Spo Marke, No. 140, February 003 Li, S, The Esimaion of Implied Volailiy from he BlackScholes Model: Some New Formulas and Their Applicaions, No. 141, February 003 Drew, M E, & Sanford, J D, Principal and Agen Problems in Superannuaion Funds, No. 14, March 003 Li, S, A Single Model and Some Empirical Evidences for Opimal Asse Allocaion wih ValueaRisk Consrains, No. 143, March 003 Valadkhani, A, An Empirical Analysis of he Black Marke Exchange Rae in Iran, No. 144, April 003 Worhingon, A, Business Expecaions and Preferences regarding he Inroducion of Dayligh Saving in Queensland, No. 145, May 003 Worhingon, A, Losing Sleep a he Marke: An Empirical Noe on he Dayligh Saving Anomaly in Ausralia, No. 146, May 003 Robinson, M, Tighening he Resuls/Funding Link in Performance Budgeing Sysems, No. 147, May 003 Worhingon, A & Higgs, H, Risk, Reurn and Porfolio Diversificaion in Major Paining Markeing: The Applicaion of Convenional Financial Analysis o Unconvenional Invesmens, No. 148, June 003 Layon A, & Smih D, Duraion Dependence in he US Business Cycle, No 15, Augus 003 Valadkhani A & Layon A, Quanifying he Effec of GST on Inflaion in Ausralia s Capial Ciies: An Inervenion Analysis, No 153, Sepember 003 Worhingon A, & Valadkhani A, Measuring he Impac of Naural Disasers on Capial Markes: An Empirical Applicaion Using Inervenion Analysis, No 154, Sepember 003 Robinson M, The Oupu Concep and Public Secor Services, No 155, Sepember 003 Worhingon A, Brown K, Crawford M, & Pickernell D, SocioEconomic and Demographic Deerminans of Household Gambling in Ausralia, No 156, Sepember 003 Worhingon A, & Higgs H, Tess of Random Walks and Marke Efficiency in Lain American Sock Markes: An Empirical Noe, No 157, Sepember 003 (Replacing Previous No 158) Worhingon A, & Higgs H, Sysemaic Feaures of HighFrequency Volailiy in Ausralian Elecriciy Markes: Inraday Paerns, Informaion Arrival and Calendar Effecs, No 158, November 003 Worhingon A, & Higgs H, Weakform Marke Efficiency in European Emerging and Developed Sock Markes, No 159, Sepember 003 Wes T, & Worhingon A, Macroeconomic Risk Facors in Ausralian Commercial Real Esae, Lised Propery Trus and Propery Secor Sock Reurns: A Comparaive Analysis using GARCHM, No 160, Ocober 003 Lee, B, Inersae Comparison of Oupu and Produciviy in he Ausralian Agriculural Secor , No 161, Ocober 003 Valadkhani A, Demand for M in Developing Counries: An Empirical Panel Invesigaion, No. 149, July 003 Worhingon A, & Higgs H, Modelling he Inraday Reurn Volailiy Process in he Ausralia Equiy Marke: An Examinaion of he Role of Informaion Arrival in S & PASX Socks, No 150, July 003 Lahiri R, Tax Disorions in a Neoclassical Moneary Economy in he Presence of Adminisraion Coss, No 151 Sepember 003