| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7547 |
| DP7547 A Preferred-Habitat Model of the Term Structure of Interest Rates | |
| Dimitri Vayanos | |
| 发表日期 | 2009-11-08 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for commodity-exporting countries. We show that 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. |
| 主题 | International Macroeconomics |
| 关键词 | Commodity exports Default Futures Hedging International reserves Options Precautionary savings |
| URL | https://cepr.org/publications/dp7547 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536381 |
| 推荐引用方式 GB/T 7714 | Dimitri Vayanos. DP7547 A Preferred-Habitat Model of the Term Structure of Interest Rates. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Dimitri Vayanos]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Dimitri Vayanos]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Dimitri Vayanos]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
