LEADER 06331oam 22013214 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(IMF)WPIEA2009229 035 $a(EXLCZ)993170000000055375 100 $a20020129d2009 uf 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aMacro-Hedging for Commodity Exporters /$fEduardo Borensztein, Damiano Sandri, Olivier Jeanne 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a29 p. $cill 225 1 $aIMF Working Papers 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 Papers; Working Paper ;$vNo. 2009/229 606 $aHedging (Finance)$xEconometric models 606 $aFutures$xEconometric models 606 $aCommodity futures$xEconometric models 606 $aAggregate Factor Income Distribution$2imf 606 $aBanks and Banking$2imf 606 $aCapital and Ownership Structure$2imf 606 $aCommercial products$2imf 606 $aCommodities$2imf 606 $aCommodity Markets$2imf 606 $aConsumption$2imf 606 $aEconomics$2imf 606 $aExports and Imports$2imf 606 $aFinancial Risk and Risk Management$2imf 606 $aFinancial risk management$2imf 606 $aFinancial services law & regulation$2imf 606 $aFinancing Policy$2imf 606 $aForeign assets$2imf 606 $aGoodwill$2imf 606 $aHedging$2imf 606 $aIncome$2imf 606 $aInternational economics$2imf 606 $aInternational Investment$2imf 606 $aInvestment & securities$2imf 606 $aInvestments, Foreign$2imf 606 $aInvestments: Commodities$2imf 606 $aLong-term Capital Movements$2imf 606 $aMacroeconomics$2imf 606 $aMacroeconomics: Consumption$2imf 606 $aSaving$2imf 606 $aValue of Firms$2imf 606 $aWealth$2imf 607 $aPapua New Guinea$2imf 615 0$aHedging (Finance)$xEconometric models. 615 0$aFutures$xEconometric models. 615 0$aCommodity futures$xEconometric models. 615 7$aAggregate Factor Income Distribution 615 7$aBanks and Banking 615 7$aCapital and Ownership Structure 615 7$aCommercial products 615 7$aCommodities 615 7$aCommodity Markets 615 7$aConsumption 615 7$aEconomics 615 7$aExports and Imports 615 7$aFinancial Risk and Risk Management 615 7$aFinancial risk management 615 7$aFinancial services law & regulation 615 7$aFinancing Policy 615 7$aForeign assets 615 7$aGoodwill 615 7$aHedging 615 7$aIncome 615 7$aInternational economics 615 7$aInternational Investment 615 7$aInvestment & securities 615 7$aInvestments, Foreign 615 7$aInvestments: Commodities 615 7$aLong-term Capital Movements 615 7$aMacroeconomics 615 7$aMacroeconomics: Consumption 615 7$aSaving 615 7$aValue of Firms 615 7$aWealth 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.$bResearch Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910826147303321 996 $aMacro-Hedging for Commodity Exporters$94009846 997 $aUNINA