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Hedging langfristiger Lieferverpflichtungen mit kurzfristigen Futures: möglich oder unmöglich?

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  • Bühler, Wolfgang
  • Korn, Olaf
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    Abstract

    Im Laufe des Jahres 1993 war die Metallgesellschaft Refining & Marketing (MGRM), eine US-amerikanische Tochtergesellschaft der Metallgesellschaft AG, in großem Umfang die Verpflichtung eingegangen, langfristig Öl zu Festpreisen zu liefern. Das dadurch entstehende Preisrisiko sollte über Derivate reduziert bzw. ausgeschaltet werden. Da die vorgesehenen Liefertermine bis zu zehn Jahre in der Zukunft lagen, existierten keine laufzeitäquivalenten Ölderivate. Statt dessen kaufte die MGRM eine dem gesamten zukünftigen Liefervolumen entsprechende Anzahl von Terminkontrakten mit kurzer Laufzeit von meist nur einem Monat. Bei Fälligkeit wurden die Positionen in den nächsten kurz laufenden Kontrakt überrollt. Diese Hedgestrategie führte letztlich zu einer Krise des gesamten Konzerns, die im Dezember 1993 in der Ablösung des Vorstandes, der schrittweisen Auflösung der Ölgeschäfte und Verlusten in Milliardenhöhe gipfelte. --

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    Bibliographic Info

    Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 98-20.

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    Date of creation: 1998
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    Handle: RePEc:zbw:zewdip:5200

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    1. Antonio S. Mello & John E. Parsons, 1995. "Maturity Structure Of A Hedge Matters: Lessons From The Metallgesellschaft Debacle," Journal of Applied Corporate Finance, Morgan Stanley, vol. 8(1), pages 106-121.
    2. Schwartz, Eduardo S, 1997. " The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-73, July.
    3. Bryan Routledge & Duane Seppi & Chester Spatt, . "Equilibrium Forward Curves for Commodities," GSIA Working Papers 1997-49, Carnegie Mellon University, Tepper School of Business.
    4. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-92.
    5. Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
    6. Christopher L. Culp & Merton H. Miller, 1995. "Metallgesellschaft And The Economics Of Synthetic Storage," Journal of Applied Corporate Finance, Morgan Stanley, vol. 7(4), pages 62-76.
    7. Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," The Journal of Business, University of Chicago Press, vol. 58(2), pages 135-57, April.
    8. Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
    9. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
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