Currency hedging and quantitative easing: Evidence from global bond markets

Lawrence Kryzanowski, Jie Zhang, Rui Zhong

Research output: Contribution to journalArticlepeer-review

1 Citation (Web of Science)


We examine the influence of quantitative easing (QE) in the United States on hedging effectiveness and performance (E&P) of international bond portfolios. During the QE period, the bond portfolios have significantly lower excess returns and variances, and their excess returns (variances) are positive (negative) with the U.S. Federal Reserve's (Fed's) mortgage-backed securities holdings and are less positive (less negative) with the Fed's Treasury holdings. E&P is higher for optimal versus full hedging during the QE versus pre-QE period and differs for portfolios from developed and emerging countries. Results are robust using other hedging E&P measures and excluding countries with their own QEs implementations.

Original languageEnglish
Pages (from-to)555-597
Number of pages43
JournalInternational Review of Finance
Issue number2
Early online date5 Dec 2019
Publication statusPublished - Jun 2021


Dive into the research topics of 'Currency hedging and quantitative easing: Evidence from global bond markets'. Together they form a unique fingerprint.

Cite this