LEADER 04187nam 2200649Ia 450 001 9910826147303321 005 20200520144314.0 010 $a1-4623-1439-2 010 $a9786612844300 010 $a1-4518-7376-X 010 $a1-282-84430-X 010 $a1-4527-1070-8 035 $a(CKB)3170000000055375 035 $a(SSID)ssj0000942105 035 $a(PQKBManifestationID)11505489 035 $a(PQKBTitleCode)TC0000942105 035 $a(PQKBWorkID)10971990 035 $a(PQKB)11411962 035 $a(OCoLC)694141005 035 $a(IMF)WPIEE2009229 035 $a(NBER)w15452 035 $a(MiAaPQ)EBC1608855 035 $a(EXLCZ)993170000000055375 100 $a20100309d2009 uf 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aMacro-hedging for commodity exporters /$fprepared by Eduardo Borensztein, Olivier Jeanne, Damiano Sandri 205 $a1st ed. 210 $a[Washington, D.C.] $cInternational Monetary Fund, Research Dept.$d2009 215 $a29 p. $cill 225 1 $aIMF working paper ;$vWP/09/229 300 $a"October 2009." 311 $a1-4519-1794-5 327 $aIntro -- 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. 330 3 $aThis paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for commodity-exporting countries. The introduction of hedging instruments such as futures and options enhances domestic welfare through two channels. First, by reducing export income volatility and allowing for a smoother consumption path. Second, by reducing the country's need to hold foreign assets as precautionary savings (or by improving the country's ability to borrow against future export income). Under plausibly calibrated parameters, the second channel may lead to much larger welfare gains, amounting to several percentage points of annual consumption. 410 0$aIMF working paper ;$vWP/09/229. 606 $aHedging (Finance)$xEconometric models 606 $aFutures$xEconometric models 606 $aCommodity futures$xEconometric models 615 0$aHedging (Finance)$xEconometric models. 615 0$aFutures$xEconometric models. 615 0$aCommodity futures$xEconometric models. 676 $a332.64;332.645 700 $aBorensztein$b Eduardo$01656769 701 $aJeanne$b Olivier$0125747 701 $aSandri$b Damiano$01656770 712 02$aInternational Monetary Fund.$bResearch Dept. 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910826147303321 996 $aMacro-Hedging for Commodity Exporters$94009846 997 $aUNINA