Citation:

Nana Varian Januardi, Afina Hasya. "Optimizing Currency Hedging: Evaluating the Efficiency of Selective Strategies for Protecting the Indonesian Rupiah" International Research Journal of Economics and Management Studies, Vol. 3, No. 6, pp. 379-385, 2024.

Abstract:

This study aims to identify efficient strategies for protecting the Indonesian Rupiah (IDR) against depreciation relative to several foreign currencies (USD, JPY, EUR, CNY, SGD). The research evaluates two primary hedging strategies: passive (always hedge and unhedged) and selective (random walk, large premia, and PPP down). Data spanning 60 months from December 2014 to November 2019 is analyzed using an investment horizon of three months. The findings indicate that the random walk strategy proves most effective in minimizing IDR depreciation, supported by superior return-per-risk metrics and efficient frontier analysis.

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Keywords:

Strategy foreign currency, Passive strategy, Selective strategy, Hedge, Unhedge, Large premia, PPP.