摘要：Commodity price, foreign exchange rate, and fuel oil price which directly impacts ocean freight cost significantly, are generally more volatile in this era, and the volatility for these prices fluctuates over time. This study is concerned with estimating futures hedge ratios for an importing firm which imports from the U.S. Specifically, this study develops the optimal risk-minimizing hedge ratios for the joint hedging decision for a Japanese soybean importing firm based on the monthly data. A theoretical analysis of the hedged price revenue has been constructed according to the minimum variance hedging model. The hedge ratios of a variety of hedging scenarios, including 3-way hedge, 2-way hedge, and 1-way hedge, are derived. They are determined by the variances and covariances of the unhedged importer¡¯s price revenue and the returns from the soybean, heating oil, and exchange rate futures markets. Empirical results are achieved by using the conventional method and the time series techniques. The hedging effectiveness is compared by using in-sample and out-of-sample hedge periods based on two approaches: the minimum-variance reduction method and the utility-maximization method. The key results of this study are that an importing firm jointly hedge soybean price and exchange rate or jointly hedge soybean price and heating oil price can reduce more revenue risk than 3-way hedge and 1-way hedge, and the conventional method is more effective than the time series techniques. The empirical results presented make a contribution to developing an effective hedge strategy for the importing firm which imports commodities from the U.S.
