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The Impact of Backwardation on Hedgers' Demand for Currency Futures Contracts: Theory versus Empirical Evidence

Röthig, Andreas :
The Impact of Backwardation on Hedgers' Demand for Currency Futures Contracts: Theory versus Empirical Evidence.
[Online-Edition: http://econstor.eu/bitstream/10419/32059/1/588003352.PDF]
In: Darmstadt Discussion Papers in Economics , 190 . Darmstadt
[Report], (2008)

Offizielle URL: 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.

Typ des Eintrags: Report
Erschienen: 2008
Autor(en): Röthig, Andreas
Titel: The Impact of Backwardation on Hedgers' Demand for Currency Futures Contracts: Theory versus Empirical Evidence
Sprache: Englisch
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.

Reihe: Darmstadt Discussion Papers in Economics
Band: 190
Ort: Darmstadt
Freie Schlagworte: Backwardation, hedging, currency futures
Fachbereich(e)/-gebiet(e): 01 Fachbereich Rechts- und Wirtschaftswissenschaften
01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete > Fachgebiet Makroökonomie und Finanzmärkte
01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete
Hinterlegungsdatum: 26 Aug 2009 08:19
Offizielle URL: http://econstor.eu/bitstream/10419/32059/1/588003352.PDF
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JEL - Classification : C20, D81, G15

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