Offshore Commodity Hedging under Floating Exchange Rates
扩展了标准商品对冲框架，纳入汇率不确定性和外汇远期覆盖交易，并用芝加哥期货交易所的澳大利亚出口小麦数据说明汇率变动和远期覆盖决策对离岸商品对冲者的影响。
Abstract Exchange rate uncertainty can have significant effects on the optimal hedging behavior of offshore commodity traders. In this paper, the standard commodity hedging framework is extended first to incorporate exchange rate uncertainty and second, to forward cover transactions in the foreign exchange market. The implications of exchange rate movements and forward cover decisions for offshore commodity hedgers are illustrated using data relevant to hedging Australian export wheat on the Chicago Board of Trade.