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Technische Universität Darmstadt >
Institut für Volkswirtschaftslehre, Technische Universität Darmstadt >
Darmstadt Discussion Papers in Economics, Inst. f. VWL, TU Darmstadt >
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http://hdl.handle.net/10419/32059
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| Title: | | The impact of backwardation on hedgers' demand for currency futures contracts: theory versus empirical evidence  |
| Authors: | | Röthig, Andreas |
| Issue Date: | | 2008 |
| Series/Report no.: | | Darmstadt discussion papers in economics 190 |
| 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. |
| Subjects: | | Backwardation hedging currency futures |
| JEL: | | C20 D81 G15 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Darmstadt Discussion Papers in Economics, Inst. f. VWL, TU Darmstadt
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