文章基本信息

标题：Welfare Gains from Market Insurance: The Case of Mexican Oil Price Risk
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作者：Ma, Chang ; Valencia, Fabian
期刊名称：IMF Policy Discussion Papers
出版年度：2018
期号：March
出版社：International Monetary Fund
摘要：Over the past two decades, Mexico has hedged oil price risk through the purchase of put options. We examine the resulting welfare gains using a standard sovereign default model calibrated to Mexican data. We show that hedging increases welfare by reducing income volatility and reducing risk spreads on sovereign debt. We find welfare gains equivalent to a permanent increase in consumption of 0.44 percent with 90 percent of these gains stemming from lower risk spreads.