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  1. Welfare gains from market insurance
    the case of Mexican oil price risk
    Author: Ma, Chang; Valencia, Fabian
    Published: March 2018
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Over the past two decades, Mexico has hedged oil price risk through the purchase of put options. We examine the resulting welfare gains using a standard sovereign default model calibrated to Mexican data. We show that hedging increases welfare by... more

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Over the past two decades, Mexico has hedged oil price risk through the purchase of put options. We examine the resulting welfare gains using a standard sovereign default model calibrated to Mexican data. We show that hedging increases welfare by reducing income volatility and reducing risk spreads on sovereign debt. We find welfare gains equivalent to a permanent increase in consumption of 0.44 percent with 90 percent of these gains stemming from lower risk spreads

     
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  2. Welfare gains from market insurance
    the case of Mexican oil price risk
    Author: Ma, Chang; Valencia, Fabian
    Published: March 2018
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Over the past two decades, Mexico has hedged oil price risk through the purchase of put options. We examine the resulting welfare gains using a standard sovereign default model calibrated to Mexican data. We show that hedging increases welfare by... more

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    Over the past two decades, Mexico has hedged oil price risk through the purchase of put options. We examine the resulting welfare gains using a standard sovereign default model calibrated to Mexican data. We show that hedging increases welfare by reducing income volatility and reducing risk spreads on sovereign debt. We find welfare gains equivalent to a permanent increase in consumption of 0.44 percent with 90 percent of these gains stemming from lower risk spreads

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781484344163
    Other identifier:
    Series: IMF working paper ; WP/18, 35
    Subjects: Ölpreis; Hedging; Optionsgeschäft; Öffentliche Schulden; Staatsbankrott; Wohlfahrtsanalyse; Mexiko
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen