Advanced Search
MyIDEAS: Login

Smoothing Primary Exporters' Price Risks: Bonds, Futures, Options and Insurance

Contents:

Author Info

  • Kletzer, Ken
  • Newbery, David M
  • Wright, Brian D

Abstract

The costs of primary commodity price instability are reviewed and can be significant. Stabilization is problematic, given high serial correlation. Rolling over a sequence of one-year futures hedges can be quite effective and the optimal hedge is derived but encounters the problem of sovereign default risk. So does international lending and borrowing to smooth consumption. The authors derive the constrained optimal fully state-contingent contract for consumption smoothing of identically independent distributed and first order serially correlated price risks in the absence of enforceable contracts and compare this with more liquid commodity bond options and loan contracts. Copyright 1992 by Royal Economic Society.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://links.jstor.org/sici?sici=0030-7653%28199210%292%3A44%3A4%3C641%3ASPEPRB%3E2.0.CO%3B2-B&origin=bc
File Function: full text
Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Oxford University Press in its journal Oxford Economic Papers.

Volume (Year): 44 (1992)
Issue (Month): 4 (October)
Pages: 641-71

as in new window
Handle: RePEc:oup:oxecpp:v:44:y:1992:i:4:p:641-71

Contact details of provider:
Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK
Fax: 01865 267 985
Email:
Web page: http://oep.oupjournals.org/

Order Information:
Web: http://www.oup.co.uk/journals

Related research

Keywords:

Other versions of this item:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Bernardo Guimaraes, 2008. "Optimal External Debt and Default," CEP Discussion Papers dp0847, Centre for Economic Performance, LSE.
  2. Kletzer, Kenneth M. & Wright, Brian D., 1998. "Sovereign Debt as Intertemporal Barter," Center for International and Development Economics Research, Working Paper Series qt4qg3c42v, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
  3. Kenneth Kletzer, 2005. "Sovereign Debt, Volatility and Insurance," Working Papers Central Bank of Chile 330, Central Bank of Chile.
  4. Frederick Van der Ploeg, 2010. "Natural Resources: Curse or Blessing?," CESifo Working Paper Series 3125, CESifo Group Munich.
  5. van der Ploeg, Frederick, 2006. "Challenges and Opportunities for Resource Rich Economies," CEPR Discussion Papers 5688, C.E.P.R. Discussion Papers.
  6. Ricardo Caballero & Stavros Panageas, 2005. "A Quantitative Model of Sudden Stops and External Liquidity Management," NBER Working Papers 11293, National Bureau of Economic Research, Inc.
  7. Hühnerbein, Ossip Robert, 2007. "Sovereign Debt Contracts and Financial Stability in Emerging Market Economies," Munich Dissertations in Economics 7302, University of Munich, Department of Economics.
  8. Kannapiran, Chinna A., 2000. "Commodity price stabilisation: macroeconomic impacts and policy options," Agricultural Economics, Blackwell, vol. 23(1), pages 17-30, June.
  9. Claessens, Stijn, 2005. "Taking stock of risk management techniques for sovereigns," Policy Research Working Paper Series 3570, The World Bank.
  10. Benedict F. W. Bingham & James Daniel & Giulio Federico, 2001. "Domestic Petroleum Price Smoothing in Developing and Transition Countries," IMF Working Papers 01/75, International Monetary Fund.
  11. Kletzer, Kenneth, 2004. "Sovereign Debt, Volatility and Insurance," Santa Cruz Center for International Economics, Working Paper Series qt71b785gd, Center for International Economics, UC Santa Cruz.
  12. Kletzer, Kenneth, 2005. "Sovereign Debt, Volatility and Insurance," Santa Cruz Department of Economics, Working Paper Series qt7337d1nw, Department of Economics, UC Santa Cruz.
  13. Yothin Jinjarak, 2004. "On the hidden links between financing costs and international trade patterns," Econometric Society 2004 Far Eastern Meetings 501, Econometric Society.
  14. G. Benavides & P. N. Snowden, 2006. "Futures for farmers: Hedging participation and the Mexican corn scheme," Journal of Development Studies, Taylor & Francis Journals, vol. 42(4), pages 698-712.
  15. Bernardo Guimaraes, 2011. "Sovereign default: which shocks matter?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(4), pages 553-576, October.
  16. Kletzer, Kenneth, 2004. "Sovereign Debt, Volatility and Insurance," Santa Cruz Department of Economics, Working Paper Series qt71b785gd, Department of Economics, UC Santa Cruz.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:oup:oxecpp:v:44:y:1992:i:4:p:641-71. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.