Repository logo
  • English
  • Deutsch
Log In
or
  1. Home
  2. HSG CRIS
  3. HSG Publications
  4. Cross Hedging Jet-Fuel Price Exposure
 
  • Details

Cross Hedging Jet-Fuel Price Exposure

Journal
Energy Economics
ISSN
0140-9883
ISSN-Digital
1873-6181
Type
journal article
Date Issued
2012-09
Author(s)
Adams, Zeno  
Gerner, Mathias
DOI
10.1016/j.eneco.2012.06.011
Abstract
This paper investigates the cross hedging performance of several oil forwards contracts using WTI, Brent, gasoil and heating oil to manage jet-fuel spot price exposure. We apply three econometric techniques that have been widely tested and applied in the cross hedging literature on foreign exchange and stock index futures markets. Using quotes from the financial industry on forward contracts, we can show that the optimal cross hedging instrument depends on the maturity of the instrument's forwards contract. The results highlight that the standard approach in the literature to use crude oil as a cross hedge is not optimal. By contrast, for short hedging horizons our results indicate that gasoil forwards contracts represent the highest cross hedging efficiency for jet-fuel spot price exposure, while for maturities of more than three months, the predominance of gasoil diminishes in comparison to WTI and Brent.
Language
English
Keywords
Cross-hedging
hedge ratio
futures & forwards
crude oil
error correction model.
HSG Classification
contribution to scientific community
HSG Profile Area
SEPS - Quantitative Economic Methods
Refereed
Yes
Publisher
Elsevier
Publisher place
Amsterdam
Volume
34
Number
5
Start page
1301
End page
1309
Pages
9
URL
https://www.alexandria.unisg.ch/handle/20.500.14171/91084
Subject(s)

business studies

Division(s)

s/bf - Swiss Institut...

SoF - School of Finan...

Eprints ID
217577

here you can find instructions and news.

Built with DSpace-CRIS software - Extension maintained and optimized by 4Science

  • Privacy policy
  • End User Agreement
  • Send Feedback