文章基本信息

标题：OFFSHORE COMMODITY AND CURRENCY HEDGING STRATEGY WITH HEDGING COSTS
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作者：Jin, Hyun Joung ; Koo, Won W.
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2002
期号：SUPPL
出版社：Food Distribution Research Society
摘要：This study explores the role of hedging costs in offshore hedging to minimize the risks associated with fluctuations in commodity export prices and exchange rates in international grain trade. The study focuses on three areas: (1) the effects of hedging costs in both commodity and currency futures hedging, (2) the relationship between hedging cost and trade volume of a grain, and (3) a prescriptive hedging strategy for Japanese wheat importers in the commodity and currency futures markets. A demand system for futures hedging is presented and the effect of hedging cost on the model is analyzed. The model is applied to a representative wheat importer in Japan. Demand for futures is estimated under different levels of hedging costs in both commodity and currency futures markets. The empirical results show that the hedging costs are significant in both markets. The demand for hedging increases when the hedging costs decrease. When hedging costs are incorporated into the model, the two futures hedging have a substitute relationship.
关键词：international grain trade;risk management;offshore futures hedging;hedging cost