@article{Sagong:330732,
      recid = {330732},
      author = {Sagong, Yong},
      title = {Optimal Speculative and Hedging Decisions of Competitive  Importing Firms with Commodity and Foreign Exchange Rate  Futures},
      journal = {Journal of Rural Development/Nongchon-Gyeongje},
      address = {2017-09-30},
      number = {1071-2023-420},
      month = {Sep},
      year = {2017},
      abstract = {This paper extends Lee and Sakong (1997) analyzing the  speculative and hedging behavior of a risk-averse and  competitive importing firm under exchange rate and price  uncertainty to the general case to maximize the expected  utility of its profit. I verify that when commodity futures  price is biased, the optimal hedging volume in the foreign  exchange futures market should be less than the expected  dollar profit earned from the speculative behavior in the  commodity futures market. It is also supported by the  numerical simulation. And I also verify the reason why  domestic oil refiners have a very low share of futures  trading for hedging. This is because the domestic sales  price is closely linked to the cost of imports and  therefore they are less exposed to the price risk.},
      url = {http://ageconsearch.umn.edu/record/330732},
      doi = {https://doi.org/10.22004/ag.econ.330732},
}