| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 995038 | Energy Policy | 2010 | 5 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Energy
Energy Engineering and Power Technology
Authors
Won-Cheol Yun, Hyun Jae Kim,