Commodity price instability has been a permanent concern for developing economies. Vulnerable countries can hedge their revenues using financial derivatives or, under credit constraint conditions, they can smooth revenues with properly designed self-insurance mechanisms such as saving funds. However, the traditional analysis based on expected utility theory has proven to be inadequate to solve the question of intertemporal resource allocation under uncertainty. The reason is that it does not distinguish between risk preferences and tine preferences, and as a consequence, the optimal hedging or saving recommendation becomes biased. We re-examine the optimal risk management strategy for a country with concentrated export revenues in one commodity, using a non-expected utility framework. We find that when solving the representative consumer optimization problem, a utility function that separates risk aversion from intertemporal elasticity becomes extremely relevant particularly when agents face a borrowing constraint.;On the other hand, this work underlines the role that learning can have in reducing market uncertainty. By applying the concept of active learning from system theory, we show that a monopolistic producer facing a dynamic optimization problem under uncertainty, will rather reduce its short term profits, moving away from its static optimal production in order to probe and gain information about the market, obtaining in the process a higher expected profit. We are to able to measure the relative impact that the learning effect for different degrees of risk aversion. We examine the externality that hedging decisions have in terms of speeding up the learning process of market parameters, and identify the elements that enhance this effect. We conclude that as risk aversion increases, the learning impact diminishes, revealing a complementary role between hedging and active learning.;This analysis is later applied through numerical simulations to the specific example of copper in Chile. We therefore also contribute to the discussion of optimal policy responses to reduce external vulnerability of the Chilean economy.
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