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| Xing, Liu; Pietola, Kyosti. |
| This paper estimates optimal hedging ratios for a Finnish spring wheat producer under price and yield risk. The forward contract available for hedging fixes the price and quantity at the time of sowing for a delivery at harvest. Autoregressive models are used to obtain point forecasts for the conditional mean price and price volatility at harvest. Expected yield and yield volatility are estimated from the field experiment data. A range of coefficients of absolute risk aversion are used in the computations. The results suggest that yield volatility is large and it dominates the price volatility in the optimal hedging decisions of the Finnish wheat producers. Nevertheless, a potential for large negative correlation between the price and the yield decreases... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Hedging ratio; Risk; Forward contract; Financial Economics; Risk and Uncertainty; Q14. |
| Ano: 2005 |
URL: http://purl.umn.edu/24467 |
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| Irz, Xavier T.; Niemi, Jyrki S.; Xing, Liu. |
| The agricultural commodity crisis of 2006-8 and the recent evolution of commodity markets have reignited anxieties in Finland over fast-rising food prices and food security. Although the impact of farm commodity price shocks on the final consumer is mitigated by a large degree of processing as well as the complex structure of the food chain, little is known about the strength of the linkages between food markets and input markets. Using monthly series of price indices from 1995 to 2010, we estimate a vector error-correction (VEC) model in a co-integration framework in order to investigate the short-term and long-term dynamics of food price formation. The results indicate that a statistically significant long-run equilibrium relationship exists between the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Demand and Price Analysis. |
| Ano: 2011 |
URL: http://purl.umn.edu/114460 |
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