Hedging voyage charter rates on illiquid routes

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2020-04-08 DOI:10.1504/ijstl.2020.10028344

A. G. Mirantes, J. Población, G. Serna

引用次数: 2

Abstract

Freight prices are heterogeneous, and not all the routes have the same liquidity of spot or futures prices; therefore, sometimes there are problems related to one, or more, route hedges. In this paper, we develop a methodology to hedge the price risk of one route using other routes' futures contracts. The main result of this paper is that we can hedge, with a great fit, the price risk of one route using other routes' futures contracts. The hedging results obtained with our methodology outperform those obtained with standard simple regression procedures.

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对冲非流动航线的航次租船费率

运费价格是异质的，并非所有路线都具有相同的现货或期货价格流动性；因此，有时会出现与一个或多个路线对冲相关的问题。在本文中，我们开发了一种利用其他路线的期货合约来对冲一条路线的价格风险的方法。本文的主要结果是，我们可以使用其他路线的期货合约来对冲一条路线的价格风险，并且非常适合。使用我们的方法获得的套期保值结果优于使用标准简单回归程序获得的结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.