Röthig, Andreas (2008)
The Impact of Backwardation on Hedgers' Demand for Currency Futures Contracts: Theory versus Empirical Evidence.
Report, Bibliographie
Kurzbeschreibung (Abstract)
This study compares the relation between backwardation and optimal hedging demand as suggested by economic theory to empirical findings concerning the impact of weak and strong backwardation on hedgers' trading volume in six long and short currency futures contracts. First, the optimal hedging demand of a representative importer, with and without hedging costs, is derived. Then hedgers' position data from the Commitments of Traders (COT) report are regressed on weak and strong backwardation. The empirical results offer little support for the hypotheses suggested by economic theory.
| Typ des Eintrags: | Report |
|---|---|
| Erschienen: | 2008 |
| Autor(en): | Röthig, Andreas |
| Art des Eintrags: | Bibliographie |
| Titel: | The Impact of Backwardation on Hedgers' Demand for Currency Futures Contracts: Theory versus Empirical Evidence |
| Sprache: | Englisch |
| Publikationsjahr: | 1 Februar 2008 |
| Ort: | Darmstadt |
| Reihe: | Darmstadt Discussion Papers in Economics |
| Band einer Reihe: | 190 |
| URL / URN: | http://econstor.eu/bitstream/10419/32059/1/588003352.PDF |
| Kurzbeschreibung (Abstract): | This study compares the relation between backwardation and optimal hedging demand as suggested by economic theory to empirical findings concerning the impact of weak and strong backwardation on hedgers' trading volume in six long and short currency futures contracts. First, the optimal hedging demand of a representative importer, with and without hedging costs, is derived. Then hedgers' position data from the Commitments of Traders (COT) report are regressed on weak and strong backwardation. The empirical results offer little support for the hypotheses suggested by economic theory. |
| Freie Schlagworte: | Backwardation, hedging, currency futures |
| Zusätzliche Informationen: | JEL - Classification : C20, D81, G15 |
| Fachbereich(e)/-gebiet(e): | 01 Fachbereich Rechts- und Wirtschaftswissenschaften 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete > Fachgebiet Makroökonomie und Finanzmärkte |
| Hinterlegungsdatum: | 26 Aug 2009 08:19 |
| Letzte Änderung: | 03 Jun 2018 21:23 |
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