.png){kind=icon}
.png){kind=icon}
Return
Hedging Commodity Price Risk
.png){kind=icon}
PRE
AI
DOI：10.1017/S0022109022001478.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
We present an equilibrium model of hedging for commodity processing firms. We show the optimal hedge ratio depends on the convexity of the firm's cost function and the elasticity of the supply of the input and the demand for the output. Our calibrated model suggests that hedging tends to be ineffective. When uncertainty comes exclusively from either the supply or from the demand side, updating the hedge dynamically, and using nonlinear contracts improves hedging effectiveness. However, with both supply and demand uncertainty, hedging effectiveness can be low even with option-based and dynamic hedging strategies.
Keywords:
FIRM VALUE
FUTURES
MANAGEMENT
INCENTIVES
Journal
IF:
2.8
Papers:
2.3K
Citations:
1.0W
