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- W4311133968 abstract "Abstract We present an equilibrium model of hedging for commodity processing firms. We show the optimal hedge ratio depends on the convexity of the firm’s cost function and the elasticity of the supply of the input and the demand for the output. Our calibrated model suggests that hedging tends to be ineffective. When uncertainty comes exclusively from either the supply or from the demand side, updating the hedge dynamically, and using nonlinear contracts improves hedging effectiveness. However, with both supply and demand uncertainty, hedging effectiveness can be low even with option-based and dynamic hedging strategies." @default.
- W4311133968 created "2022-12-23" @default.
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- W4311133968 date "2022-12-12" @default.
- W4311133968 modified "2023-09-24" @default.
- W4311133968 title "Hedging Commodity Price Risk" @default.
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- W4311133968 doi "https://doi.org/10.1017/s0022109022001478" @default.
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