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Macro-Hedging for Commodity Exporters.
This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for commodity-exporting countries. The introduction of hedging instruments such as futures and options enhances domestic welfare through two channels. First, by reducing export income v...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington :
International Monetary Fund,
2009.
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| Colección: | IMF Working Papers.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Stylized fact; 1. Countries with 2002-2007 average of commodity net export share of non-commodity-GDP above 10 percent; 2. Standard deviation of the detrended log of commodity exports and non-commodity GDP; 1. Average open interest and risk premium (NYMEX July 03
- May 09); III. The model; A. No hedging; B. Futures; IV. The welfare gains from hedging; A. Calibration; 3. Benchmark calibration; 4. Calibration by commodity; B. Benchmark results; 2. Welfare gains from consumption smoothing only; 3. Full welfare gains.
- 4. Consumption functions and target net foreign asset position5. Dynamics of net foreign assets and consumption following the introduction of hedging; C. Sensitivity analysis; 6. Welfare gains as a function of discount factor and growth rate; 7. Welfare gains as a function of the shock persistency; 8 Welfare gains as a function of the shock variance; D. Welfare gains by commodity; 5. Welfare gains from futures by commodity; V. Extensions; A. Options; 9. Net foreign assets and welfare gains with options and futures contracts; B. Default.
- 10. Borrowing capacity, equilibrium net foreign assets and welfare gains with defaultable debtVI. Conclusion; I. Commodity price data; 6. Commodity price data from International Finance Statistics; II. Model with hedging; III. Notes on numerical simulations; IV. Maximum likelihood estimation; References; Footnotes.