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Thursday, May 21, 2020 | History

3 edition of The hedging performance of ECU futures contracts found in the catalog.

The hedging performance of ECU futures contracts

Anthony Saunders

The hedging performance of ECU futures contracts

by Anthony Saunders

  • 121 Want to read
  • 26 Currently reading

Published by Federal Reserve Bank of Philadelphia in Philadelphia .
Written in English

    Subjects:
  • European currency unit,
  • Hedging (Finance)

  • Edition Notes

    StatementAnthony Saunders and Stanley Sienkiewicz
    SeriesWorking papers / Federal Reserve Bank of Philadelphia. Research Dept -- no. 87-15
    ContributionsSienkiewicz, Stanley
    The Physical Object
    Pagination30 p. ;
    Number of Pages30
    ID Numbers
    Open LibraryOL14426635M

    Hedging and Futures. Futures are themselves hedging instruments for commodity suppliers and consumers. For example, if you grow wheat, you can lock in a price at planting time that will determine your sales revenue at harvest. You do this by selling one or more futures contracts for wheat. Chapter 3 Hedging with Futures Contracts Size: KB.

    THE HEDGING PERFORMANCE OF THE NEW FUTURES MARKETS: ADDITIONAL EVIDENCE ~ Sydney Smith Hicks February This is a working paper and should not be quoted or reproduced in whole or in part without the written consent of the author. The views expressed are those of the author and should not be attributed. hedgers were able to reduce cash price risk by using futures contracts. The degree to which futures contract offer a drop in overall risk is an important criterion for the management of the futures exchange to evaluate the hedging performance. (Pennings & Meulenberg, ).File Size: KB.

      Foreign currency hedging involves the purchase of hedging instruments to offset the risk posed by specific foreign exchange positions. Hedging is accomplished by purchasing an offsetting currency exposure. For example, if a company has a liability to deliver 1 million euros in six months, it can hedge this risk by entering into a contract to purchase 1 million euros on the same date, so that. Our Derivatives and hedging guide focuses on the accounting and financial reporting considerations for derivative instruments and hedging activities, and reflects the targeted improvements issued by the FASB in August of It addresses the definition of a derivative and how to identify one on its own or when embedded in another contract. It also provides information on accounting for.


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The hedging performance of ECU futures contracts by Anthony Saunders Download PDF EPUB FB2

The hedging performance of ECU futures contracts There are two major reasons for this. First, as a composite Euro-currency, the ECU is not subject to the same direct control many European countries place on transactions in their own currencies (e.g., France and Italy).

Cited by: Caporin, Massimiliano, "Equity and CDS sector indices: Dynamic models and risk hedging," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages Qu, Hui & Wang, Tianyang & Zhang, Yi & Sun, Pengfei, "Dynamic hedging using the realized minimum-variance hedge ratio approach – Examination of the CSI index futures," Pacific-Basin.

When T-Bond futures are used to hedge T-Bond spot positions, a proper choice of timing and contract can achieve an average proportional reduction in variability from % to %. Hedging with the front month futures provides a better hedge than any other subset of time-to-delivery for treasury futures contracts.

Risk Hedging with Future Contracts. Definition: The Future Contract is a standardized forward contract between two parties wherein they agree to buy or sell the underlying asset at a predefined date in the future and at a price specified today. The future contracts are a relatively less risky alternative of hedging against the fluctuations in the currency market.

Figlewski, Stephen, "Hedging Performance and Basis Risk in Stock Index Futures," Journal of Finance, American Finance Association, vol. 39(3), pagesJuly. Johansen, Soren, "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol.

12(), pages Cross Currency Hedging Results: Implications For EEC Unification And LDC Trade Performance of ECU Futures Contracts," The Journal of.

Futures Markets, JuneVol. 8 No. 3, pp. Longer-dated futures contracts can be used to hedge or short-term futures can be rolled forward at little or no additional cost. The biggest negative of futures as hedges is the direct correlation of values.

If the value of hedged stocks go up by $50, the futures. Hedging is buying or selling futures contract as protection against the risk of loss due to changing prices in the cash market.

If you are feeding hogs to market, you want to protect against falling prices in the cash market. Using Futures Contracts to Hedge Exiting an Expiring Position A futures contract is a standardized, legal agreement to buy or sell an asset at a predetermined price at a specified time in the : Brian Beers.

EXECUTIVE SUMMARY Hedge documentation is important in both financial reporting and income financial accounting purposes, on the date of the hedge, an entity must identify the hedged item, the instrument used, the type of risk hedged, the means of assessing hedge effectiveness, and the risk management objective and strategy.

In order to protect itself from this uncertainty, the company could buy a six-month futures contract in gold. This way, if gold experiences a 10 percent price increase, the futures contract Author: Brian Beers.

Most investors who hedge use are financial contracts that derive their value from an underlying real asset, such as a stock.   An option is the most commonly used derivative. It gives you the right to buy or sell a stock at a specified price within a window of time.

To hedge, it is necessary to take a futures position of approximately the same size—but opposite in price direction—from one's own position. Therefore, a producer who is naturally long a commodity hedges by selling futures contracts. The sale of futures contracts amounts to a substitute sale for the producer, who is acting as a short hedger.

various types of futures and forward contract and what advantages and disadvantages these two important types of derivatives have. It also includes that how futures and forward contacts can be used as hedging tools of risk management. Keywords: Underlying assets: The underlying asset is the financial instrument (e.g., stock, futures.

Lien and Tse () studied hedging effectiveness of futures and options in portfolio denominated in three currencies the British Pound, the Deutsche Mark, and the Japanese Yen. In this paper, Lower Partial Moment (LPM) is used in order to evaluatehedging effectiveness of futures contracts.

Until very recently, commodity futures were largely ignored by the vast majority of economists. At the same time, markets for foreign currencies were studied by only a relative handful of specialists in international trade and finance.

This article examines a subject which overlaps the two very arcane areas of commodity futures and foreign exchange markets, i.e., the hedging effectiveness of. The NYMEX Division heating oil futures contract, the world’s first successful energy futures contact, was introduced in The light, sweet crude oil contact, launched inis the most actively traded futures contract based on a physical commodity in the world.

These contracts, and the others that make up the Exchange’s energy File Size: KB. I, Ching Hsueh LIU, declare that the DBA thesis entitled “Foreign Exchange Hedging and Profit Making Strategy using Leveraged Spot Contracts” is no more t words in length, exclusive of tables, figures, appendices, references and footnotes.

This thesis contains no. producer can hedge in the following manner by using crude oil futures tly, • An August oil futures contract is purchases for a price of $59 perFile Size: KB. In reality, few, if any, investments have such ability.

There are, however, several common hedging strategies investors use to help mitigate portfolio risk: short selling, buying put options, selling futures contracts and using inverse ETFs. Hedging with Inverse Exposure Pros and Cons of Different Hedging Strategies. While short selling, buying. net positions of hedgers in futures markets, which is known as hedging pres-sure.

Hedging pressure results from risks that agents cannot, or do not want to trade because of market frictions such as transaction costs and informa-tion asymmetries. The use of hedging pressure as an explanation for the.If you deal with a futures option then the right way to delta hedge is with the future.

You can still delta hedge any asset with a futures contract but it will possibly not be the most optimal hedge. $\endgroup$ – Matthias Wolf Nov 26 '12 at Using futures to hedge swap books is cost-effective but results in hedging complexities due to the non-linear relationship between the swap book, which is a portfolio of forward contracts (to be shown!), and futures contracts.

Recall, there is a slight difference between forward and futures contracts. We defer this discussion to the endFile Size: KB.