Röthig, Andreas (2008):
The Impact of Backwardation on Hedgers' Demand for Currency Futures Contracts: Theory versus Empirical Evidence.
In: Darmstadt Discussion Papers in Economics, 190, Darmstadt, [Report]
|
Text
ddpie_190.pdf Copyright Information: In Copyright. Download (422kB) | Preview |
| 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: | Darmstadt Discussion Papers in Economics |
| Series Volume: | 190 |
| Place of Publication: | Darmstadt |
| Uncontrolled Keywords: | Backwardation, hedging, currency futures |
| Classification DDC: | 300 Sozialwissenschaften > 330 Wirtschaft |
| 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 |
| URN: | urn:nbn:de:tuda-tuprints-47362 |
| Additional Information: | JEL - Classification : C20, D81, G15 |
| URI: | https://tuprints.ulb.tu-darmstadt.de/id/eprint/4736 |
| PPN: | |
| Export: |
 |
View Item |
Drucken
Impressum