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:: 1, Issue 1 (Modern Theories of Economy,Volume 1, No.1,February, 2014 2013) ::
TFI 2013, 1(1): 93-106 Back to browse issues page
Application of Futures in Hedging of Metal Prices Variation for Domestic Producers
Khadijeh Hasanlou * , Hamidreza Haddadian
Abstract:   (1125 Views)
In the last years considerable variation of metal prices in the world causes extreme changing in the income of domestic producers and consumers of metals especially copper producers or consumers. Thus stabling and countering with variation of copper world prices is so necessary.  One of the usual and applicable ways for that is entering derivatives market. In this article we investigate how much this tool reduce risks of these kinds of companies. We use one to four month COMEX futures contract in the period of 5 years (2008 -2012). We also use London metal exchange (LME) prices for spot prices in the same period. In this study we evaluate efficiency of hedging using futures contracts by one of econometrics models (VAR). Result of this investigation shows that it's possible to reduce the risk 87% at the minimum and 96% at the maximum using this contracts. Finally we estimate optimum hedging rate that proves increasing in maturity of contracts will increase the efficiency of model. So 4-month contracts are the most efficient  and 1-month contracts the least efficient
Keywords: Futures contract, Econometrics, Price Hedging, VAR, COMEX
Full-Text [PDF 594 kb]   (275 Downloads)    
notification: Research | Subject: Special
Received: 2014/01/5 | Accepted: 2014/05/10 | Published: 2013/12/22
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Hasanlou K, Haddadian H. Application of Futures in Hedging of Metal Prices Variation for Domestic Producers. TFI 2013; 1 (1) :93-106
URL: http://tfe.raja.ac.ir/article-1-26-en.html


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1, Issue 1 (Modern Theories of Economy,Volume 1, No.1,February, 2014 2013) Back to browse issues page
فصلنامه نظریه های اقتصاد مالی فصلنامه نظریه های اقتصاد مالی
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