Protección contra la exposición del tipo de cambio a largo plazo con contratos de futuros a corto plazo. El caso de los contratos forward en UF chilenas/dólares

In this paper we analyze the problem faced by a firm who is exposed to long-term exchange rate risk, having no access to long-term forward contracts that would allow hedging the exchange risk perfectly. We analyze how much of the long-term exchange rate risk faced by the firm can be eliminated using short-term maturity contracts, identifying under which conditions the use of short-term maturity contracts would allow for perfect hedging. The use of short-term forward contracts to hedge against long-term exposure forces the firms, as times evolves, to roll the hedge over as old forward contracts mature and new ones are listed, giving rise to some degree of exposition. We develop strategies to increase the hedging provided by short-term futures and forward contracts in those cases that perfect hedging is not possible. We look at the specific case of the Chilean UF-US$ exchange forward contracts, exploring the characterization of an optimal hedging strategy, considering that there are several short-term forward contracts with different maturities coexisting. We show that up to 98.39% of the total exchange rate risk faced by an investor receiving a cash flow ten years from now could be hedged by taking positions in short-term forward contracts. Finally we explore how general is our solution.