Hedging Commodity Price Risk
建立了一个商品加工企业对冲的均衡模型，发现最优对冲比率取决于成本函数的凸性及投入供给与产出需求弹性。校准模型表明对冲通常效果不佳，在供需双重不确定下，即使采用期权和动态策略，效果仍可能较低。
Abstract We present an equilibrium model of hedging for commodity processing firms. We show the optimal hedge ratio depends on the convexity of the firm’s cost function and the elasticity of the supply of the input and the demand for the output. Our calibrated model suggests that hedging tends to be ineffective. When uncertainty comes exclusively from either the supply or from the demand side, updating the hedge dynamically, and using nonlinear contracts improves hedging effectiveness. However, with both supply and demand uncertainty, hedging effectiveness can be low even with option-based and dynamic hedging strategies.