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| Wilson, William W.; Wagner, Robert; Nganje, William E.. |
| Price risk management problems confronting grain processors differ somewhat from conventional motives for hedging. There are two components of this problem that are addressed in this study. One is the competitive characteristics of the processing sector, the structure and conduct of which ultimately determines the relationship between input and output prices. In some cases, these are highly correlated and in others they are not. The second refers to the hedge horizon, or, how far forward a firm should cover its inevitable short cash positions. This study incorporates these two components of hedging into a mean-variance framework to evaluate how they impact price risk management decisions for processors. A theoretical model is developed which is then... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Hedging; Optimal hedge ratios; Food processors; Risk management; Marketing. |
| Ano: 2003 |
URL: http://purl.umn.edu/23637 |
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| Wilson, William W.; Wagner, Robert. |
| The presence of multiple sources of uncertainty complicates hedging decisions. One of these is the output price and its correlation with input prices. The other is how far forward a firm covers its positions. This study analyzes hedging strategies for grain importers as processors. The analytical model addresses questions of the hedge horizon and accounts for the correlation between input and output prices and exchange rate risk. A theoretical model was developed explicitly modeling the operations of a grain importing firm. The concept of strategic demand for hedging was developed in the context of an analytical model, representing the adjustment in hedge ratios in relation to the hedge horizon and input-output price correlations. Results indicated... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Price risk uncertainty; Hedging; Grain; Importers; International Relations/Trade; Risk and Uncertainty. |
| Ano: 2002 |
URL: http://purl.umn.edu/23665 |
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