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首页> 外文期刊>Journal of International Money and Finance >Offshore hedging strategy of Japan-based wheat traders under multiple sources of risk and hedging costs
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Offshore hedging strategy of Japan-based wheat traders under multiple sources of risk and hedging costs

机译：具有多种风险和对冲成本的日本小麦贸易商的离岸对冲策略

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摘要

Japan-based international wheat traders face multiple risks from the changes in wheat prices and exchange rates. This study shows that Japanese wheat importers would employ futures hedging in the CBOT and/or TIFFE to reduce the risks, although there is no wheat futures trading in Japan. For the importers, hedging in the CBOT and TIFFE might accompany some costs in addition to transaction and opportunity costs, such as additional transaction cost as a foreign trader and a relatively higher bid-ask spread due to a large volume of trade. Thus, introducing hedging costs in an offshore hedging model for the traders is necessary, and it may change optimal hedging ratios in both futures markets. Empirical results show that costs in the hedging activities are at play in determining optimal hedging positions in the markets.
机译：总部位于日本的国际小麦贸易商面临着小麦价格和汇率变化的多重风险。这项研究表明，尽管日本没有小麦期货交易，但日本小麦进口商将在CBOT和/或TIFFE中使用期货对冲以降低风险。对于进口商而言，在CBOT和TIFFE中进行套期保值可能会伴随交易和机会成本之外的一些成本，例如，作为外国贸易商的额外交易成本以及由于大量交易而产生的相对较高的买卖价差。因此，有必要在交易员的离岸对冲模型中引入对冲成本，这可能会改变两个期货市场的最佳对冲比率。实证结果表明，套期保值活动的成本在确定市场上最佳的套期保值头寸中起作用。

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