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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.
In: Darmstadt Discussion Papers in Economics, 190. Darmstadt
[Report], (2008)

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Item Type: Report
Title: The Impact of Backwardation on Hedgers' Demand for Currency Futures Contracts: Theory versus Empirical Evidence
Language: English
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.

Series Name: Darmstadt Discussion Papers in Economics
Volume: 190
Place of Publication: Darmstadt
Uncontrolled Keywords: Backwardation, hedging, currency futures
Classification DDC: 300 Sozialwissenschaften > 330 Wirtschaft
Divisions: 01 Law and Economics
01 Law and Economics > Volkswirtschaftliche Fachgebiete > Fachgebiet Makroökonomie und Finanzmärkte
01 Law and Economics > Volkswirtschaftliche Fachgebiete
Date Deposited: 26 Aug 2009 08:19
Last Modified: 27 Jan 2016 07:51
URN: urn:nbn:de:tuda-tuprints-47362
Additional Information:

JEL - Classification : C20, D81, G15

Additional Information:

JEL - Classification : C20, D81, G15

URI: http://tuprints.ulb.tu-darmstadt.de/id/eprint/4736
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