Ülkenin gündeminde her hafta stres katsayısını yükselten gelişmeler olunca doğrusu insanın genel ekonomik tablo ile ilgili yorum yapma hevesi azalıyor. Enflasyondaki yükselme eğiliminden, uzun ...zamandır unuttuğumuz bütçe açığında kalıcılık işaretlerine, faizlerin düşmesini isteyen reel kesimin rekor düzeydeki borçlarına politikacıların faiz hassasiyetine rağmen artan hazine borçlanmasının da eklenmesiyle daralan hareket alanımızdan, hukuk standartlarındaki farklılaşma nedeniyle AB ile gerilen ilişkilerimize ve kontrol etmekte zorlandığımız güneyimizdeki jeopolitik kaosa kadar önümüzü görmemizi engelleyen onca belirsizliğin yarattığı risklere daha geçen yazıda değinmiştik. Aradan geçen bir haftada döviz kurlarında oluşan beklenmedik sıçrama bir bakıma bu öngörülemezliğin yeni bir teyidi oldu. O yazıda, biraz da moralimizi düzeltmek için olsa gerek, iş hayatında da risk alma cesaretimizle övündüğümüzü, ancak şirketlerimizin risk algılarında ve risk yönetimi yaklaşımlarında küresel şirketlerden oldukça farklılaştığını belirtmiştik. Bu durumda en iyisi, geçen hafta ifade ettiğimiz niyet beyanına uygun olarak, konunun mikro ölçekteki boyutunu biraz irdelemek. Hem böylece bireylerin de, şirketlerin de kontrolü dışındaki faktörler yerine kendi inisiyatifleri ile yönlendirebilecekleri daha rahatlatıcı bir alana girmiş oluruz.
This research paper investigates the hedging efficiency between spot and future prices of crude oil and natural gas commodities in the energy category of the commodity market. The study focuses on ...two major commodity exchanges, the Multi Commodity Exchange of India (MCX) and the New York Mercantile Exchange (NYMEX), which serve as the global benchmarking commodity market. Various econometric models have been incorporated to measure constant and time-varying hedging efficiency, we analyze the potential of futures contracts in mitigating price risks in these markets. The results indicate significant and consistent hedge ratios for both crude oil and natural gas in both the MCX and NYMEX markets. Moreover, the MGARCH model, which assesses hedging that varies over time, demonstrates the ability to adjust hedging positions based on market changes. Johansen's co-integration test endorses the presence of enduring connections between spot and future prices in both exchanges. Traders and investors can effectively use futures contracts to mitigate price risks in energy commodity markets, ensuring more dependable financial outcomes amid price fluctuations. Additionally, policymakers can utilize these research findings to promote the adoption of futures contracts, make well-informed choices, manage risks effectively, and enhance the overall efficiency and stability of energy commodity markets.
A Formula omitted. - Formula omitted. -martingale density for a given stochastic process Formula omitted. is a local Formula omitted. -martingale Formula omitted. starting at 1 such that the product ...Formula omitted. is a Formula omitted. - Formula omitted. -martingale. Existence of a Formula omitted. - Formula omitted. -martingale density is equivalent to a classic absence-of-arbitrage property of Formula omitted. , and it is invariant if we replace the reference measure Formula omitted. with a locally equivalent measure Formula omitted. . Now suppose that there exists a Formula omitted. - Formula omitted. -martingale density for Formula omitted. . Can we find another Formula omitted. - Formula omitted. -martingale density for Formula omitted. having some extra local integrability Formula omitted. under Formula omitted. ? We show that the answer is always positive for one part of Formula omitted. that we identify, and we show that the complete answer depends in a precise quantitative way on the local integrability of the drift-to-jump ratio of the remaining 'jumpy' part of Formula omitted. . Our proofs provide in addition new ideas and results in infinite-dimensional spaces.
Abstract The role of derivatives on firm valuation has recently become a subject of intense debate for emerging markets where there is greater asset price volatility, illiquidity, and the absence of ...common regulations and accounting standards. Given the lack of data availability, disclosure inconsistency and distinctive regulatory requirements for Indian firms, we assess the impact of corporate hedging via derivative use on the performance of BSE-100 non-financial firms over the period 2010–2017. Our results from keywords-based hand-collected derivative usage data show that all types of derivatives, except rate derivatives, have a significant and positive impact on firm value through channels of reduced earnings volatility and increased leverage with tax benefits. Firms with greater leverage tend to benefit from the use of rate derivatives. Still, among those highly leveraged firms, the ones who experience high earnings volatility are unable to benefit from rate derivatives. Besides, hedge accounting benefits firms in dealing with earnings volatility when they have higher derivatives exposure. As capital controls on international flows can limit the use of derivatives, we show that firms with currency risk exposure in terms of long-term foreign currency debt do benefit from rate derivatives. Our results are also robust with a matched sample for derivative users and non-users. Overall, we conclude that easing regulatory controls on derivatives dealings can be beneficial for firms in growing emerging economies.
The growing complexity of many real world problems is one of the biggest challenges of our time. The area of international finance is one prominent example where decision making is often fraud to ...mistakes, and tasks such as forecasting, trading and hedging exchange rates seem to be too difficult to expect correct or at least adequate decisions. From the high complexity of the foreign exchange market and related decision problems, the author derives the necessity to use tools from Machine Learning and Artificial Intelligence, e.g. Support Vector Machines, and to combine such methods with sophisticated financial modelling techniques. The suitability of this combination of ideas is demonstrated by an empirical study and by simulation.
Building on the increased interest in oil prices and other financial assets, this paper examines the dynamic conditional correlations among their implied volatility indices. We then proceed to the ...examination of the optimal hedging strategies and optimal portfolio weights for implied volatility portfolios between oil and fourteen asset volatilities, which belong to four different asset classes (stocks, commodities, exchange rates and macroeconomic conditions). The results suggest that the oil price implied volatility index (OVX) is highly correlated with the US and emerging stock market volatility indices, whereas the lowest correlations are observed with the implied volatilities of gold and the Euro/dollar exchange rate. Hedge ratios indicate that VIX is the least useful implied volatility index to hedge against oil implied volatility. Finally, we show that investors can benefit substantially by adjusting their portfolios based on the dynamic weights and hedge ratios obtained from the dynamic conditional correlation models, although a trade-off exists between the level of risk reduction and portfolio profitability.
•We examine dynamic conditional correlations among financial assets’ implied volatility indices•We assess optimal hedging strategies and optimal portfolio weights for implied volatility portfolios•OVX is highly correlated with US and emerging stock market volatility indices•Lowest correlations observed with implied volatilities of gold and Euro/dollar exchange rate•VIX is the least useful implied volatility index to hedge against oil implied volatility
In this paper, the approximate stationarity of the second-order moment increments of the sub-fractional Brownian motion is given. Based on this, the pricing model for European options under the ...sub-fractional Brownian regime in discrete time is established. Pricing formulas for European options are given under the delta and mixed hedging strategies, respectively. Furthermore, European call option pricing under delta hedging is shown to be larger than under mixed hedging. The hedging error ratio of mixed hedging is shown to be smaller than that of delta hedging via numerical experiments.
A key question is why many multinational firms forgo foreign exchange derivative (FX) hedging and instead use operational hedging. We propose an explanation based on illiquidity and the unique ...advantages of operational hedges. We use 10-K filings to construct dynamically updated text-based measures of the offshore sale of output, purchase of input, and ownership of assets. We find that firms use FX derivatives when they are liquid and generally available. Otherwise, they often favor purchasing input from the same nations they sell output to, an operational hedge. Quasi-natural experiments based on new derivative product launches suggest a likely causal relation.
This study assesses whether foreign currency (FC) hedging improves firm productive efficiency. Using a unique sample of French non-financial listed firms belonging to the CAC All-Tradable index ...(former SBF250 index) index over the period 2004–2012, we employ a non-parametric method—data envelopment analysis—to estimate a firm’s efficiency frontier and analyze the role of financial hedging in addressing agency conflicts in France. The empirical results show that FC hedging has a significant positive effect on efficiency. This finding supports the theoretical view that hedging is a disciplinary device that can mitigate the owner–manager agency conflicts, leading to a better firm efficiency. The results are robust to a battery of sensitivity and endogeneity tests.
From passive to informed Seale, Madeleine; Nakayama, Naomi
The New phytologist,
01/2020, Letnik:
225, Številka:
2
Journal Article
Recenzirano
Odprti dostop
Plant dispersal mechanisms rely on anatomical and morphological adaptations for the use of physical or biological dispersal vectors. Recently, studies of interactions between the dispersal unit and ...physical environment have uncovered fluid dynamic mechanisms of seed flight, protective measures against fire, and release mechanisms of explosive dispersers. Although environmental conditions generally dictate dispersal distances, plants are not purely passive players in these processes. Evidence suggests that some plants may enact informed dispersal, where dispersal-related traits are modified according to the environment. This can occur via developmental regulation, but also on shorter timescales via structural remodelling in relation to water availability and temperature. Linking interactions between dispersal mechanisms and environmental conditions will be essential to fully understand population dynamics and distributions.
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