Multiple uncertainty, forward-futures markets and international trade

Arbeitspapier

The optimum behavior of a competitive risk-averse international trader who supplies or demands commodities invoiced in foreign currency is examined when his profits are subject to several forms of risk: production, domestic cost, the exchange rate and the commodity price. The focus of our study is the robustness of the known results regarding the role of forward-futures markets in the presence of cost and output uncertainty. New results on the implications of the framework for the separation and the double hedging theorems are derived. The behavior of the same firm with and without complete markets is compared and conditions are obtained for a domestic price guarantee or a gradual introduction of missing markets to promote the level of international trade.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Diskussionsbeiträge - Serie II ; No. 255

Classification and Topics

• Classification: Wirtschaft ; Criteria for Decision-Making under Risk and Uncertainty ; Expectations; Speculations ; Trade: Other ; Foreign Exchange
• Subject: uncertainty ; risk aversion ; incomplete markets ; forward rate ; futures rate ; Multinationales Unternehmen ; Internationale Betriebswirtschaftslehre ; Derivat ; Hedging ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Viaene, Jean-Marie ; Zilcha, Itzhak
• Event: Veröffentlichung
• (who): Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft
• (where): Konstanz
• (when): 1995

Further information

• Handle: http://hdl.handle.net/10419/101800
• Last update: 10.03.2025, 11:42 AM CET