értekezés - Budapesti Corvinus Egyetem

9. függelék - Az FSS [1993] féle Cournot-egyensúlyi modell
Assume that there are two firms, both lacking access to external finance, so that their
annual investment can never exceed their annual internal cash flow available for
investment. Suppose further that cash flow is perfectly correlated across firms, with
identical means (I*) – which we also define as the investment level that would prevail in an
unconstrained Cournot equilibrium (that is, when investment decision is independent of the
size of internal cash flow available). When neither firm hedges, and their cash flows
exceed I*, both firms invest I*. However, when cash flows are less than I*, both firms
invest what they have. 182
Now suppose that just firm 1 hedges, locking in a cash flow of I*. When firm 2’s cash flow
exceeds I*, the unconstrained Cournot equilibrium is achieved – just as it would be without
hedging. But when firm 2’s cash flow is less than I*, firm 2 invests only what it has, while
firm 1 (which has hedged) gets to invest more – exactly I*. Because investment is a
strategic substitute, the additional investment that hedging makes possible is particularly
attractive to firm 1 in these states: prices are higher, and so are the marginal returns to the
investment. Thus, firm 1 is clearly better off hedging.
There are still benefits, although less, for firm 1 from hedging in this model if firm 2 does
hedge. Froot et al. [1993] argue that if firm 2 hedges – ensuring that it can invest I* in all
states – its generally stronger position makes investment less appealing for firm 1. Thus,
there is less reason for firm 1 to use hedging to lock in a high level of investment.
However, this argumentation seems rather weak since each firm wants to perform
relatively better than its competitor in order to gain market share and strength. Hence, the
optimal strategy for both firms in this framework would be – rather – to hedge, no matter
what the competitor’s hedging strategy is – weakening the substitutability hypothesis by
Froot et al. [1993]. 183 Although implicitly, they acknowledge the vulnerability of this
hypothesis by inferring that the overall industry equilibrium will involve some hedging by
both firms.
182 Both firms would like to increase their investment in these states – since investment/output is relatively
low and prices are high – but cannot because of liquidity constraints.
183 We could rather say that the substitutability works in one direction: when one firm remains unhedged, its
competitor is definitely motivated to hedge.
179