دانلود رایگان ترجمه مقاله تعادل شبکه زنجیره تامین با حمایت مالی استراتژیک با استفاده از معاملات آتی (نشریه الزویر 2019)

تعادل شبکه زنجیره تامین با حمایت مالی استراتژیک با استفاده از معاملات آتی

Supply chain network equilibrium with strategic financial hedging using futures

Abstract

In this paper, we develop a network equilibrium model for supply chain networks with strategic financial hedging. We consider multiple competing firms that purchase multiple materials and parts to manufacture their products. The supply chain firms’ procurement activities are exposed to commodity price risk and exchange rate risk. The firms can use futures contracts to hedge the risks. Our research studies the equilibrium of the entire network where each firm optimizes its own operation and hedging decisions. We use variational inequality theory to formulate the equilibrium model, and provide qualitative properties. We provide analytical results for a special case with duopolistic competition, and use simulations to study an oligopolistic case. The analytical and simulation studies reveals interesting managerial insights.

1 Introduction

Supply chains today have become increasingly complex and global, which have made firms at different stages of supply chains more and more vulnerable to various risk factors. Understanding and managing these risks as well as their impacts on supply chain operations and profitability have become a business imperative for many companies. Therefore, supply chain risk management has drawn increasing attentions from both academians and practitioners.

In this research we focus on using futures to hedge foreign exchange risk and commodity price risk in supply chains. A survey by Scott (2009) showed that foreign exchange risk was ranked as the second most important risk factor by the risk management executives of 500 global companies. The fluctuations of currency values can cause significant loss to firms that are engaged in global trades. For example, in January 2015, the chief executive officer of Procter & Gamble warned that the appreciating value of dollar would result in a 5% reduction of the company 2015 sales and a 12% reduction in profit (Narvaez, 2015). For another example, in 2016 the British companies rushed to hedging their foreign exchange risk to protect themselves from the growing “Brexit” risk (Nag, 2016). Moreover, supply chains are also affected by the commodity price risk directly by the raw material prices and indirectly by the energy and transportation cost (Zsidisin, Hartley, & Gaudenzi, 2016). For example, in 2011 the consumer production company, Kimberly-Clark, suffered sales and profit decline partially due to the increasing wood pulp price (Zsidisin & Hartley, 2012). Commodity prices can be very volatile in the global market. For instance, from August 2003 to March 2004, soybean prices increased by 74% from $237 to $413, and then dropped to $256 within the next two years (Zsidisin & Hartley, 2012). For another instance, from April 2010 to April 2011, the price of silver tripled in the commodity market (Zsidisin & Hartley, 2012).

According to a study of over 7000 nonfinancial firms from 50 countries, about 60% of the surveyed firms have conducted some form of hedging using financial derivatives (Bartram, Brown, & Fehle, 2009). Our research focuses on the use of futures to hedge foreign exchange and commodity price risks. In the world largest futures and option market, CME Group, (Chicago Mercantile Exchange and Chicago Board of Trade), futures are the dominant form of derivative contract for foreign exchange rates and commodity prices. For example, as of October 2017, for foreign exchange rate, the ADV (average daily volume) of futures is 832,165 and the ADV of options is 78,688; for metals, the ADV of futures is 506,049 and the ADV of options is 47,462; and for commodities and alternative investment, the ADV of futures is 1,116,089 and the ADV of options is 249,468 (CME Group, 2017). CME also provides detailed guides for businesses at different stages of supply chains to engage in financial hedging.