Skip to content
Source

BHC Gross Foreign Exchange Rate Hedging

Definition

Total gross notional amount of foreign exchange rate derivatives held for purposes other than trading BHCK8726 over total assets BHCK2170; for the period 1995 to 2000, contracts not marked to market BHCK8730 are added.

If t \in [1995, 2000]:

\text{Gross FX Hedging}_{i,t}=\frac{\text{BHCK8726}_{i,t}+\text{BHCK8730}_{i,t}}{\text{BHCK2170}_{i,t}}

Otherwise:

\text{Gross FX Hedging}_{i,t}=\frac{\text{BHCK8726}_{i,t}}{\text{BHCK2170}_{i,t}}

where BHCK8726, BHCK8730 and BHCK4107 are from the Bank Holding Company data by the Federal Reserve Bank of Chicago.1

Reference

Rampini, Viswanathan and Vuillemey (2020 JF).


Last update: August 2, 2020