Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/32059 
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dc.contributor.authorRöthig, Andreasen
dc.date.accessioned2008-12-15-
dc.date.accessioned2010-05-14T11:56:52Z-
dc.date.available2010-05-14T11:56:52Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aTechnische Universität Darmstadt, Department of Law and Economics |cDarmstadten
dc.relation.ispartofseries|aDarmstadt Discussion Papers in Economics |x190en
dc.subject.jelC20en
dc.subject.jelD81en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordBackwardationen
dc.subject.keywordhedgingen
dc.subject.keywordcurrency futuresen
dc.titleThe impact of backwardation on hedgers' demand for currency futures contracts: theory versus empirical evidence-
dc.typeWorking Paperen
dc.identifier.ppn588003352en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:darddp:dar_35698en

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