06496oam 22013934 450 991096056620332120250426110740.09786612844300978146231439314623143929781451873764145187376X9781282844308128284430X97814527107091452710708(CKB)3170000000055375(SSID)ssj0000942105(PQKBManifestationID)11505489(PQKBTitleCode)TC0000942105(PQKBWorkID)10971990(PQKB)11411962(OCoLC)694141005(IMF)WPIEE2009229(NBER)w15452(MiAaPQ)EBC1608855(IMF)WPIEA2009229WPIEA2009229(EXLCZ)99317000000005537520020129d2009 uf 0engurcn|||||||||txtccrMacro-Hedging for Commodity Exporters /Eduardo Borensztein, Damiano Sandri, Olivier Jeanne1st ed.Washington, D.C. :International Monetary Fund,2009.29 p. illIMF Working Papers"October 2009."9781451917949 1451917945 Intro -- Contents -- I. Introduction -- II. Stylized facts -- III. The model -- A. No hedging -- B. Futures -- IV. The welfare gains from hedging -- A. Calibration -- B. Benchmark results -- C. Sensitivity analysis -- D. Welfare gains by commodity -- V. Extensions -- A. Options -- B. Default -- VI. Conclusion -- References -- Appendices -- I. Commodity price data -- II. Model with hedging -- III. Notes on numerical simulations -- IV. Maximum likelihood estimation -- Tables -- 1. Countries with 2002-2007 average of commodity net export share of non-commodity-GDP above 10 percent -- 2. Standard deviation of the detrended log of commodity exports and non-commodity GDP -- 3. Benchmark calibration -- 4. Calibration by commodity -- 5. Welfare gains from futures by commodity -- 6. Commodity price data from International Finance Statistics ... -- Figures -- 1. Average open interest and risk premium (NYMEX July 03 - May 09) -- 2. Welfare gains from consumption smoothing only -- 3. Full welfare gains -- 4. Consumption functions and target net foreign asset position -- 5. Dynamics of net foreign assets and consumption following the introduction of hedging -- 6. Welfare gains as a function of discount factor and growth rate -- 7. Welfare gains as a function of the shock persistency -- 8. Welfare gains as a function of the shock variance -- 9. Net foreign assets and welfare gains with options and futures contracts -- 10. Borrowing capacity, equilibrium net foreign assets and welfare gains with defaultable debt.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.IMF Working Papers; Working Paper ;No. 2009/229Hedging (Finance)Econometric modelsFuturesEconometric modelsCommodity futuresEconometric modelsAggregate Factor Income DistributionimfBanks and BankingimfCapital and Ownership StructureimfCommercial productsimfCommoditiesimfCommodity MarketsimfConsumptionimfEconomicsimfExports and ImportsimfFinancial Risk and Risk ManagementimfFinancial risk managementimfFinancial services law & regulationimfFinancing PolicyimfForeign assetsimfGoodwillimfHedgingimfIncomeimfInternational economicsimfInternational InvestmentimfInvestment & securitiesimfInvestments, ForeignimfInvestments: CommoditiesimfLong-term Capital MovementsimfMacroeconomicsimfMacroeconomics: ConsumptionimfSavingimfValue of FirmsimfWealthimfPapua New GuineaimfHedging (Finance)Econometric models.FuturesEconometric models.Commodity futuresEconometric models.Aggregate Factor Income DistributionBanks and BankingCapital and Ownership StructureCommercial productsCommoditiesCommodity MarketsConsumptionEconomicsExports and ImportsFinancial Risk and Risk ManagementFinancial risk managementFinancial services law & regulationFinancing PolicyForeign assetsGoodwillHedgingIncomeInternational economicsInternational InvestmentInvestment & securitiesInvestments, ForeignInvestments: CommoditiesLong-term Capital MovementsMacroeconomicsMacroeconomics: ConsumptionSavingValue of FirmsWealth332.64;332.645Borensztein Eduardo1797659Jeanne Olivier125747Sandri Damiano1815965International Monetary Fund.Research Dept.DcWaIMFBOOK9910960566203321Macro-Hedging for Commodity Exporters4371595UNINA