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Market structure and multiperiod hedging
Authors:Udo Broll  Bernhard Eckwert
Institution:1. Faculty of Civil Engineering, University of Tabriz, Tabriz, Iran;2. UTM Construction Research Centre, Faculty of Civil Engineering, Institute for Smart Infrastructure and Innovative Construction, UTM, 81310 Johor Bahru, Johor, Malaysia;3. Department of Civil Engineering, MUET, SZAB Campus, Khairpur, Pakistan;4. Department of Civil Engineering, Faculty of Engineering, University of Malaya, 50603, Kuala Lumpur, Malaysia;5. Department of Civil Engineering, Jubail University College, Royal Commission of Jubail and Yanbu, Jubail 31961, Saudi Arabia;6. Facultad de Arquitectura y Urbanismo, Universidad Tecnológica Equinoccial, Calle Rumipamba s/n y Bourgeois, Quito, Ecuador
Abstract:This paper develops a multiperiod hedging model for a competitive risk-averse international firm. We study the optimal sequential hedging strategy and analyze the impact of the structure of available risk sharing markets on the firm's export decision. As a main result, we find that the number of risk sharing markets critically affects the export level while the timing of these markets is inconsequential.
Keywords:Futures markets  Multiperiod hedging  Export production
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