复合喷气燃料交叉套期保值

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.2022.100271

Min Cao, Thomas Conlon

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引用次数: 1

摘要

喷气燃料价格高度波动，超出了航空公司的控制范围，激励他们通过财务对冲来减少收益波动。由于直接套期保值的选择有限，航空公司经常对喷气燃料需求进行交叉套期保值。在本文中，我们提出了一种复合喷气燃料交叉套期保值方法，与传统的单一工具策略相比，该方法具有显著的性能优势。一种模仿投资组合的方法，包括多种对冲工具，被发现可以提供额外的对冲收益。最后，我们证明了通过将最近引入的喷气燃料互换合同添加到对冲投资组合中，可以实现进一步的对冲有效性。

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Composite jet fuel cross-hedging

Jet fuel prices are highly volatile and outside airlines’ control, incentivizing them to reduce earnings volatility through financial hedging. Due to limited direct hedging options, airlines often resort to cross-hedging of jet fuel requirements. In this paper, we propose a composite jet fuel cross-hedging approach, shown to provide substantial performance benefits relative to a traditional single instrument strategy. A mimicking portfolio approach, incorporating multiple hedging instruments, is found to provide additional hedging gains. Finally, we demonstrate that further hedging effectiveness is achieved by adding recently introduced jet fuel swap contracts to a hedge portfolio.

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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.