Financial hedging in a three-echelon global supply chain in presence of spot market

摘要

This paper systematically analyzes the exchange rate risk hedging problem. We build a three stages dynamic game model for a global supply chain consisting of a supplier, a manufacturer and a retailer with mean-variance preferences over their profit. We derive the unique equilibrium supply contract and wholesale contract, and develop the closed-form expressions on products prices, order quantities, and the forward exchange rate levels for each supply chain member in the presence of spot market.