http://chineseinput.net/에서 pinyin(병음)방식으로 중국어를 변환할 수 있습니다.
변환된 중국어를 복사하여 사용하시면 됩니다.
원료 및 생산물과 환율의 변동을 고려한 삼중헤징 : 한국 정유사의 사례
노재선,윤원철,김수덕 ( Jae Sun Roh,Won Cheol Yun,Su Duk Kim ) 한국파생상품학회 1998 선물연구 Vol.6 No.1
This study develops an international hedging model which accounts for the multiple risks of input and output prices and exchange rates. Considering a fixed production technology, we formalize simultaneous minimum variance hedge ratios, which reflects intercorrelations among prices. To utilize the dynamic nature of prices, time-varying conditional procedures are specified to estimate the relevant variance and covariance matrix. The time-varying representations of the variance and covariance matrix are statistically appropriate, in general. The separate hedge ratios are similar to the simultaneous hedge ratios for alterative procedures. The ex post hedging effectiveness indicates that there are substantial reduction in the variance of returns for all the procedures. The contribution of foreign currency futures is minimal due to the low correlation between commodities and exchange rates. Based on the traditional definition of hedging effectiveness, the time-varying conditional procedure provides little gain to the hedgers over a constant procedure in terms of the mean and the variance reduction. However, the performance of conditional procedures could be improved by accounting for the potential problems: misspecification problem, inappropriate definition of hedging effectiveness, and conflicts between theoretical derivation and estimation of hedge ratios.