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Financial instruments to hedge commodity price risk for developing countries

Author: Yinqiu Lu; Salih N Neftci; International Monetary Fund. Monetary and Capital Markets Department.
Publisher: Washington, D.C. : International Monetary Fund, Monetary and Capital Markets Dept., 2008.
Series: IMF working paper, WP/08/6.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Many developing economies are heavily exposed to commodity markets, leaving them vulnerable to the vagaries of international commodity prices. This paper examines the use of commodity options-including plain vanilla, risk reversal, and barrier options-to hedge such risk. It then proposes the use of a new structured product-a sovereign Eurobond with an embedded option on a specific commodity price. By extracting  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Lu, Y. (Yinqiu).
Financial instruments to hedge commodity price risk for developing countries.
Washington, D.C. : International Monetary Fund, Monetary and Capital Markets Dept., 2008
(OCoLC)213289850
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Yinqiu Lu; Salih N Neftci; International Monetary Fund. Monetary and Capital Markets Department.
OCLC Number: 535146970
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (20 pages) : illustrations.
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: IMF working paper, WP/08/6.
Responsibility: prepared by Yinqiu Lu and Salih Neftci.

Abstract:

Many developing economies are heavily exposed to commodity markets, leaving them vulnerable to the vagaries of international commodity prices. This paper examines the use of commodity options-including plain vanilla, risk reversal, and barrier options-to hedge such risk. It then proposes the use of a new structured product-a sovereign Eurobond with an embedded option on a specific commodity price. By extracting commodity price risk out of the bond, such an instrument insulates the bond default risk from commodity price movements, allowing it to be marketed at a lower credit spread. The product is also designed to help developing countries establish a credit derivatives market, which would in turn enhance the marketability and liquidity of sovereign bonds.

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