Commodity futures hedge ratios: A meta-analysis

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2023-06-01 DOI:10.1016/j.jcomm.2022.100276

Jędrzej Białkowski , Martin T. Bohl , Devmali Perera

引用次数: 0

Abstract

The derivative accounting standard requires hedging to satisfy the 80–125 rule to be eligible to apply the hedge accounting treatment. This means the hedging relationship should achieve hedging effectiveness within the 80%–125% level to qualify for hedge accounting. The appropriateness of this screening criterion is questioned in the existing literature, and there is hardly any empirical evidence to justify the suitability of this threshold level of hedge effectiveness. By applying meta-analysis methodology for 1699 hedge ratios collected from previous academic studies in commodity futures hedging, we show that the average optimal hedge ratio in commodity futures hedging in the academic literature mostly overlaps with the 80–125 threshold.

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商品期货套期保值比率：一项荟萃分析

衍生工具会计准则要求套期保值满足80-125规则，才有资格应用套期保值会计处理。这意味着套期关系应在80%-125%的水平内实现套期有效性，才有资格进行套期会计。现有文献对该筛选标准的适当性提出了质疑，几乎没有任何经验证据证明该套期保值有效性阈值水平的适当性。通过对以往商品期货套期保值学术研究中收集的1699个套期保值比率应用荟萃分析方法，我们发现学术文献中商品期货套期的平均最优套期保值比率大多与80-125阈值重叠。

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

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.