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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w15452 |
来源ID | Working Paper 15452 |
Macro-Hedging for Commodity Exporters | |
Eduardo Borensztein; Olivier Jeanne; Damiano Sandri | |
发表日期 | 2009-10-22 |
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 | Microeconomics ; Mathematical Tools ; Macroeconomics ; Consumption and Investment ; International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Financial Markets |
URL | https://www.nber.org/papers/w15452 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573128 |
推荐引用方式 GB/T 7714 | Eduardo Borensztein,Olivier Jeanne,Damiano Sandri. Macro-Hedging for Commodity Exporters. 2009. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w15452.pdf(534KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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