国际清算银行-2025年4月美元下跌：外汇对冲的作用（英）

BIS Bulletin No 105 US dollar’s slide in April 2025: the role of FX hedging Hyun Song Shin, Philip Wooldridge and Dora Xia 20 June 2025 BIS Bulletins are written by staff members of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. The authors are grateful to Jimmy Shek for excellent analysis and research assistance, and to Nicola Faessler for administrative support. The editor of the BIS Bulletin series is Hyun Song Shin. This publication is available on the BIS website (www.bis.org). © Bank for International Settlements 2025. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN: 2708-0420 (online) ISBN: 978-92-9259-868-6 (online) BIS Bulletin 1 Hyun Song ShinHyunSong.Shin@bis.orgPhilip WooldridgePhilip.Wooldridge@bis.orgDora Xia Dora.Xia@bis.org US dollar’s slide in April 2025: the role of FX hedging Key takeaways • Currency hedging by non-US investors holding US dollar securities appears to have made an important contribution to the weakness of the dollar in April and May 2025. • In recent years, the strength of the dollar and high currency hedging costs driven by elevated short-term dollar interest rates had discouraged non-US investors from hedging their US dollar exposures. • Clues as to the location of currency hedging activity can be gleaned from intraday exchange rate movements. In April, the largest declines in the US dollar occurred during Asian trading hours, suggesting an important role for Asian investors. In the wake of US tariff announcements in early April 2025, US securities markets experienced a “triple decline” in which equities, bonds and the US dollar fell in unison. The unusual depreciation of the dollar during a risk-off episode initially led to commentary about a broad-based loss of confidence in dollar assets and a diminished role for the dollar in global capital markets. However, available evidence suggests that a more plausible explanation for the slide in the dollar during this period is the hedging activity of non-US investors to mitigate losses on unhedged dollar asset exposures. Institutional investors from outside the United States with unhedged dollar exposures took steps to reduce their currency risk. Investors retained their holdings of US assets but added to their foreign exchange (FX) swap and forward overlays to reduce their exposure to further declines in the US dollar. In April and May 2025, the largest declines in the US dollar occurred during Asian trading hours, suggesting that the ex post hedging activity of Asian investors played an important role. This Bulletin examines the potential contribution of FX hedging to the dollar’s slide in April and May 2025, and provides some clues as to