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Macro-Hedging for Commodity Exporters
Mr.Damiano Sandri
Mr.Eduardo Borensztein
Mr.Olivier Jeanne
出版
International Monetary Fund
, 2009-10-01
主題
Business & Economics / Economics / Macroeconomics
Business & Economics / Banks & Banking
Business & Economics / Exports & Imports
ISBN
145187376X
9781451873764
URL
http://books.google.com.hk/books?id=DoQYEAAAQBAJ&hl=&source=gbs_api
EBook
SAMPLE
註釋
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 volatility and allowing for a smoother consumption path. Second, by reducing the country's need to hold foreign assets as precautionary savings (or by improving the country's ability to borrow against future export income). Under plausibly calibrated parameters, the second channel may lead to much larger welfare gains, amounting to several percentage points of annual consumption.