| ID | 094935 |
| Title Proper | Hedging strategy for crude oil trading and the factors influencing hedging effectiveness |
| Language | ENG |
| Author | Yun, Won-Cheol ; Kim, Hyun Jae |
| Publication | 2010. |
| Summary / Abstract (Note) | This study analyzes the hedging effectiveness of different hedge type and period by Korean oil traders. Both crude oil price and exchange rate risks are considered. Theoretical models are formulated to estimate the hedge ratios by separate and complex hedge types. The hedging period covers 1-12 months. This study also performs some statistical works to investigate the relationship between the hedging effectiveness and the crude oil price sensitivity to exchange rate. In addition, the relationship between the hedging effectiveness and the volatilities of crude oil price and exchange rate is analyzed. |
| `In' analytical Note | Energy Policy Vol. 38, No. 5; May 2010: p.2404-2408 |
| Journal Source | Energy Policy Vol. 38, No. 5; May 2010: p.2404-2408 |
| Key Words | Crude Oil ; Complex Hedge ; Hedging Effectiveness |