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Macro-hedging for commodity exporters [[electronic resource] /] / prepared by Eduardo Borensztein, Olivier Jeanne, Damiano Sandri
| Macro-hedging for commodity exporters [[electronic resource] /] / prepared by Eduardo Borensztein, Olivier Jeanne, Damiano Sandri |
| Autore | Borensztein Eduardo |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Research Dept., 2009 |
| Descrizione fisica | 29 p. : ill |
| Altri autori (Persone) |
JeanneOlivier
SandriDamiano |
| Collana | IMF working paper |
| Soggetto topico |
Hedging (Finance) - Econometric models
Futures - Econometric models Commodity futures - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-1439-2
9786612844300 1-4518-7376-X 1-282-84430-X 1-4527-1070-8 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910463691103321 |
Borensztein Eduardo
|
||
| [Washington, D.C.], : International Monetary Fund, Research Dept., 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Macro-Hedging for Commodity Exporters / / Eduardo Borensztein, Damiano Sandri, Olivier Jeanne
| Macro-Hedging for Commodity Exporters / / Eduardo Borensztein, Damiano Sandri, Olivier Jeanne |
| Autore | Borensztein Eduardo |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 29 p. : ill |
| Altri autori (Persone) |
SandriDamiano
JeanneOlivier |
| Collana | IMF Working Papers |
| Soggetto topico |
Hedging (Finance) - Econometric models
Futures - Econometric models Commodity futures - Econometric models Banks and Banking Investments: Commodities Exports and Imports Macroeconomics Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill International Investment Long-term Capital Movements Aggregate Factor Income Distribution Macroeconomics: Consumption Saving Wealth Commodity Markets Financial services law & regulation International economics Investment & securities Hedging Foreign assets Income Consumption Commodities Financial risk management Investments, Foreign Economics Commercial products |
| ISBN |
1-4623-1439-2
9786612844300 1-4518-7376-X 1-282-84430-X 1-4527-1070-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910788224503321 |
|
Borensztein Eduardo
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Macro-Hedging for Commodity Exporters / / Eduardo Borensztein, Damiano Sandri, Olivier Jeanne
| Macro-Hedging for Commodity Exporters / / Eduardo Borensztein, Damiano Sandri, Olivier Jeanne |
| Autore | Borensztein Eduardo |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 29 p. : ill |
| Disciplina | 332.64;332.645 |
| Altri autori (Persone) |
JeanneOlivier
SandriDamiano |
| Collana | IMF Working Papers |
| Soggetto topico |
Hedging (Finance) - Econometric models
Futures - Econometric models Commodity futures - Econometric models Aggregate Factor Income Distribution Banks and Banking Capital and Ownership Structure Commercial products Commodities Commodity Markets Consumption Economics Exports and Imports Financial Risk and Risk Management Financial risk management Financial services law & regulation Financing Policy Foreign assets Goodwill Hedging Income International economics International Investment Investment & securities Investments, Foreign Investments: Commodities Long-term Capital Movements Macroeconomics Macroeconomics: Consumption Saving Value of Firms Wealth |
| ISBN |
1-4623-1439-2
9786612844300 1-4518-7376-X 1-282-84430-X 1-4527-1070-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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. |
| Record Nr. | UNINA-9910826147303321 |
|
Borensztein Eduardo
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
