Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/32059
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dc.contributor.authorRöthig, Andreasen_US
dc.date.accessioned2008-12-15en_US
dc.date.accessioned2010-05-14T11:56:52Z-
dc.date.available2010-05-14T11:56:52Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/32059-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisher|aTechn. Univ., Inst. für Volkswirtschaftslehre|cDarmstadten_US
dc.relation.ispartofseries|aDarmstadt discussion papers in economics|x190en_US
dc.subject.jelC20en_US
dc.subject.jelD81en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordBackwardationen_US
dc.subject.keywordhedgingen_US
dc.subject.keywordcurrency futuresen_US
dc.titleThe impact of backwardation on hedgers' demand for currency futures contracts: theory versus empirical evidenceen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn588003352en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:darddp:dar_35698-

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