Naslov
Application of hedge accounting on the crude oil market

Autori
Mrša, Josipa ; Jeletić, Tomislav

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Economic Integrations, Competition and Cooperation / Kandžija, V. ; Kumar A. - Rijeka : CEMAFI International, 2016, 527-544

ISBN
978-2-9544508-9-6

Skup
10th International Conference Economic Integrations, Competition and Cooperation:Accession of the Western Balkan Region to the European Union

Mjesto i datum
Opatija, Hrvatska, 22.04.2015. - 24.04.2015

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
accounting ; optimal hedge ratio ; hedge effectiveness ; crude oil market ; futures hedging

Sažetak
Highly effective hedging can be any hedge relation that offsets all or most of the risk in the hedged portfolio. The reduction of volatility is the explicit or implicit measure for hedge effectiveness. This paper examines the estimation of the optimal hedge ratio using two measures of hedging effectiveness (Standard Deviation Analysis, Coefficient Variation Analysis) on a hedge relation of WTI crude oil and futures underlying WTI crude oil. Three quantitative methods (Ordinary Least Squares Regression Method, Bivariate Vector Autoregression Method, Vector Error-Correction Method) for estimating hedge ratios were compared in order to determine their effectiveness. According to the criteria of hedge accounting requirements, the Ordinary Least Squares Regression Method was estimated to be the most effective one. The simulation of two reporting periods was made and the hedge ratio was permanently effective.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA