Purpose

The purpose of this paper is to deeply study and compare the dual and single hedging strategy, from the direct and cross hedging perspective.

Design/methodology/approach

The authors not only first consider the dual hedge of integrated risks in this oil prices and foreign exchange rates setting but also make a novel comparison between the dual and single hedging strategy from a direct and cross hedging perspective. In total, six econometric models (to conduct one-step-ahead out-of-sample rolling estimation of the optimal hedge ratio) and two hedging performance criteria are employed in two different hedging backgrounds (direct and cross hedging).

Findings

Results show that in the direct hedging background, a dual hedge cannot outperform the single hedge. But in the cross dual hedging setting, a dual hedge performs much better, possibly because the dual hedge brings different levels of advantages and disadvantages in the two different settings and the superiority of the dual hedge is more obvious in the cross dual hedging setting.

Originality/value

The existing literature that deals with oil prices and foreign exchange rates mostly concentrates on their relationship and comovements, while the dual hedge of integrated risks in this setting remains underresearched. Besides, the existing literature that deals with dual hedge gets its conclusions only based on a single specific background (direct or cross hedging) and lacks deeper investigation. In this paper, the authors expand the width and depth of the existing literature. Results and implications are revealing.

中文翻译：

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双重和单一对冲策略：直接和交叉对冲角度的新比较

目的

本文的目的是从直接和交叉对冲的角度深入研究和比较双重和单一对冲策略。

设计/方法/方法

作者不仅首先考虑了这种油价和汇率设置中综合风险的双重对冲，而且从直接和交叉对冲的角度对双重和单一对冲策略进行了新颖的比较。在两种不同的套期保值背景下（直接套期保值和交叉套期保值），总共采用了六个计量经济模型（对最佳套期保值比率进行一步超前样本外滚动估计）和两个套期保值绩效标准。

发现

结果表明，在直接对冲背景下，双重对冲无法优于单一对冲。但在交叉对冲设置中，对冲表现要好得多，这可能是因为对冲在两种不同的设置中带来了不同程度的优劣，而在交叉对冲设置中，对冲的优势更加明显。

原创性/价值

现有关于油价和外汇汇率的文献大多集中在它们的关系和联动性上，而在这种情况下对综合风险的双重对冲仍然研究不足。此外，现有的有关双重套期保值的文献仅基于单一的特定背景（直接或交叉套期保值）得出结论，缺乏深入研究。在本文中，作者扩展了现有文献的宽度和深度。结果和影响是有启发性的。