Röthig, Andreas (2008)
The Impact of Backwardation on Hedgers' Demand for Currency Futures Contracts: Theory versus Empirical Evidence.
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| Item Type: | Report |
|---|---|
| Type of entry: | Primary publication |
| Title: | The Impact of Backwardation on Hedgers' Demand for Currency Futures Contracts: Theory versus Empirical Evidence |
| Language: | English |
| Date: | 1 February 2008 |
| Place of Publication: | Darmstadt |
| Series: | Darmstadt Discussion Papers in Economics |
| Series Volume: | 190 |
| 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. |
| Uncontrolled Keywords: | Backwardation, hedging, currency futures |
| URN: | urn:nbn:de:tuda-tuprints-47362 |
| Additional Information: | JEL - Classification : C20, D81, G15 |
| Classification DDC: | 300 Social sciences > 330 Economics |
| Divisions: | 01 Department of Law and Economics 01 Department of Law and Economics > Volkswirtschaftliche Fachgebiete > Fachgebiet Makroökonomie und Finanzmärkte 01 Department of Law and Economics > Volkswirtschaftliche Fachgebiete |
| Date Deposited: | 26 Aug 2009 08:19 |
| Last Modified: | 27 Jan 2016 07:51 |
| URI: | https://tuprints.ulb.tu-darmstadt.de/id/eprint/4736 |
| PPN: | 378263358 |
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