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| Registros recuperados: 50 | |
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| Rivera Silva, Ana Laura. |
| El presente trabajo compara el costo total de una póliza de seguros para la caída de precios del maíz blanco de Sinaloa contra el costo de la cobertura simple ofrecida por ASERCA. El comportamiento sistemático de los precios fue modelado con un modelo autorregresivo, mientras que la parte aleatoria fue manejada por un ajuste de una distribución de Laplace a los residuales. Los resultados muestran que la prima del seguro por tonelada es al menos tan buena como la prima para ofrecida para la cobertura de ASERCA. El diferencial del costo y el hecho de que una póliza de seguro opera directamente en pesos; muestran que el seguro es una alternativa para la gestión de riesgos en los precios del maíz, con una menor carga a los contribuyentes. _______________... |
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Palavras-chave: ASERCA; Cobertura; Distribución Laplace; Maíz; Prima; Seguro; Hedging; Insurance; Laplace distribution; Premium; Maestría; Economía. |
| Ano: 2010 |
URL: http://hdl.handle.net/10521/196 |
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| Rivera Silva, Ana Laura. |
| El presente trabajo compara el costo total de una póliza de seguros para la caída de precios del maíz blanco de Sinaloa contra el costo de la cobertura simple ofrecida por ASERCA. El comportamiento sistemático de los precios fue modelado con un modelo autorregresivo, mientras que la parte aleatoria fue manejada por un ajuste de una distribución de Laplace a los residuales. Los resultados muestran que la prima del seguro por tonelada es al menos tan buena como la prima para ofrecida para la cobertura de ASERCA. El diferencial del costo y el hecho de que una póliza de seguro opera directamente en pesos; muestran que el seguro es una alternativa para la gestión de riesgos en los precios del maíz, con una menor carga a los contribuyentes. _______________... |
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Palavras-chave: ASERCA; Cobertura; Distribución Laplace; Maíz; Prima; Seguro; Hedging; Insurance; Laplace distribution; Premium; Maestría; Economía. |
| Ano: 2010 |
URL: http://hdl.handle.net/10521/196 |
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| Wang, Dabin; Tomek, William G.. |
| Descriptive statistics and time-series econometric models are used to characterize the behavior of monthly fluid milk prices. Prices in April, May and June appear to be more variable than those in subsequent months, and the spring-time prices are perhaps skewed. Econometric models can capture the historical behavior of spot prices, but forecasts converge to the marginal distribution of the sample prices in about six months. Futures prices for Class III milk have the expected time-to-maturity effect and converge to the respective monthly distributions of the cash prices at contract maturity (as they must, since the contracts are cash settled). Thus, econometric models and futures quotes provide similar information about price behavior at contract... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Hedging; Marketing strategies; Milk futures; Milk prices; Risk management; Risk and Uncertainty. |
| Ano: 2005 |
URL: http://purl.umn.edu/19322 |
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| Ramaswami, Bharat; Singh, Jatinder. |
| Abstract The limited presence of futures exchanges in developing countries where commodity markets fall short of the ideal underscore the importance of understanding the relation between spot and futures markets. The paper examines the exceptional success of the soya oil contract at the National Board of Trade (NBOT) in India. The paper asks whether the NBOT contract exhibits the fundamental features of mature futures markets in terms of its use by hedgers. If the market offers arbitrage opportunities to hedgers and if such activity is significant, then the activities of commercial firms should affect the returns to their hedging portfolio i.e., change in basis. This insight is developed into an examination of the impact of soya oil imports on the basis.... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Basis; Hedging; Futures market; Spot markets; Soya oil; Marketing; G13; Q13. |
| Ano: 2007 |
URL: http://purl.umn.edu/7919 |
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| Janzen, Joseph P.. |
| Analysis of the cotton futures price spike and its effects on commercial hedgers suggest that we do not completely understand the behavior of markets and firms in periods of extreme volatility. After presenting the story of the cotton futures price spike, this paper argues that explanations related to the funding liquidity of firms and the liquidity of the markets themselves may help us better understand market volatility. A simple model of futures market equilibrium in the presence of liquidity constraints demonstrates how prices can spike as fast as they did and why such spikes can drive firms to exit. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Futures; Hedging; Liquidity constraints; Cotton; Agribusiness; Financial Economics. |
| Ano: 2010 |
URL: http://purl.umn.edu/61453 |
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| Tonsor, Glynn T.; Dhuyvetter, Kevin C.; Mintert, James R.. |
| Successful risk management strategies for agribusiness firms based on futures and options contracts are contingent on their ability to accurately forecast basis. This research addresses three primary questions as they relate to basis forecasting accuracy: (a) What is the impact of adopting a time-to-expiration approach, as compared to the more common calendar-date approach? (b) What is the optimal number of years to include in calculations when forecasting livestock basis using historical averages? and (c) What is the effect of incorporating current basis information into a historical-average-based forecast? Results indicate that use of the time-to-expiration approach has little impact on forecast accuracy compared to using a simple calendar approach, but... |
| Tipo: Journal Article |
Palavras-chave: Basis; Basis forecasts; Cattle prices; Current information; Hedging; Livestock Production/Industries. |
| Ano: 2004 |
URL: http://purl.umn.edu/31115 |
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| Pennings, Joost M.E.; Garcia, Philip; Irwin, Scott H.. |
| Heterogeneity, i.e., the notion that individuals respond differently to economic stimuli, can have profound consequences for the interpretation of behavior and the formulation of agricultural policy. This paper compares and evaluates three grouping techniques that can be used to account for heterogeneity in financial behavior. Two are well established: company-type grouping and cluster analysis. A third, the generalized mixture regression model, has recently been developed and is worth considering as market participants are grouped such that their response to the determinants of economic behavior is similar. We evaluate the grouping methods in a hedging framework by assessing their ability to reflect relationships consistent with theory. The empirical... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Economic behavior; Heterogeneity; Hedging; Methods; Risk and Uncertainty; A10; B40; C1; D0; G0; L2; Q13. |
| Ano: 2011 |
URL: http://purl.umn.edu/114787 |
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| Woodard, Joshua D.; Garcia, Philip. |
| Previous studies identify limited potential efficacy of weather derivatives in hedging agricultural exposures. In contrast to earlier studies which investigate the problem at low levels of aggregation, we find using straight forward temperature contracts that better weather hedging opportunities exist at higher levels of spatial aggregation. Aggregating production exposures reduces idiosyncratic (i.e. localized or region specific) risk, leaving a greater proportion of the total risk in the form of systemic weather risk which can be effectively hedged using weather derivatives. The aggregation effect suggests that the potential for weather derivatives in agriculture may be greater than previously thought, particularly for aggregators of risk such as... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Weather derivatives; Spatial aggregation; Corn; Yield risk; Crop insurance; Hedging; Risk and Uncertainty. |
| Ano: 2007 |
URL: http://purl.umn.edu/9832 |
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| Fortenbery, T. Randall. |
| This paper examines three invited papers focused on commodity prices. Public responses to high nominal commodity prices and perceived increases in price risk have ranged from attempts to assign blame, attempts to change contracting arrangements, and development of public policy that ‘‘protects’’ the market from future occurrences of unacceptable behavior. Interestingly, a result of increased commodity price volatility has suggested that futures markets no longer ‘‘work.’’ This is ironic given that futures markets initially came into existence as tools for managing the negative impacts of commodity price risk. In response to perceptions of market failure some are looking for strategies to regulate the who and how of futures trading. |
| Tipo: Journal Article |
Palavras-chave: Futures markets; Hedging; Price risk; Risk management; Speculation; Agribusiness; Agricultural Finance; Marketing; Risk and Uncertainty; G13; Q11; Q13; Q14. |
| Ano: 2009 |
URL: http://purl.umn.edu/53084 |
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| Dahlgran, Roger A.; Ma, Xudong. |
| This study focuses on hedging effectiveness defined as the proportionate price risk reduction created by hedging. By mathematical and simulation analysis we determine the following: (a) the regression R2 in the hedge ratio regression will generally overstate the amount of price risk reduction that can be achieved by hedging, (b) the properly computed hedging effectiveness in the hedge ratio regression will also generally overstate the amount of risk reduction that can be achieved by hedging, (c) the overstatement in (b) declines as the sample size increases, (d) application of estimated hedge ratios to non sample data results in an unbiased estimate of hedging effectiveness, (e) application of hedge ratios computed from small samples presents a significant... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Out of sample; Post sample; Hedging; Effectiveness; Forecasts; Simulation; Agricultural Finance. |
| Ano: 2008 |
URL: http://purl.umn.edu/37604 |
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| Pannell, David J.; Hailu, Getu; Weersink, Alfons; Burt, Amanda. |
| The use by farmers of futures contracts and other hedging instruments has been observed to be low in many situations, and this has sometimes seemed to be considered surprising or even mysterious. We propose that it is, in fact, readily understandable and consistent with rational decision making. Standard models of the decision about optimal hedging show that it is negatively related to basis risk, to quantity risk, and to transaction costs. Farmers who have less uncertainty about prices have a lower optimal level of hedging. If a farmer has optimistic price expectations relative to the futures market, the incentive to hedge can be greatly reduced. And finally, farmers who have low levels of risk aversion have little to gain from hedging in terms of risk... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Hedging; Risk; Risk aversion; Flat payoff functions; Agricultural Finance. |
| Ano: 2007 |
URL: http://purl.umn.edu/9232 |
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| Simmons, Phil; Edwards, Miriam; Byrnes, Joel. |
| A theoretical optimal hedging model is developed to determine potential demand from Australian farmers for a hedging tool to remove the economic consequences of climate related variability in wheat yield. In the past, financial instruments have been developed to hedge price risk on capital markets; however, in more recent times new financial instruments, weather derivatives, have been developing that hedge the volumetric risk associated with unfavourable weather. Weather derivatives have the ability to effectively hedge weather related volume risk for the agricultural, mining, energy and manufacturing industries, while also providing a risk management tool for construction firms and special events organisers, although there are still many hurdles to... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Weather derivatives; Risk; Hedging; Wheat; Crop Production/Industries; Risk and Uncertainty. |
| Ano: 2007 |
URL: http://purl.umn.edu/9262 |
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| Registros recuperados: 50 | |
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