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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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| 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.. |
| In response to the development of the U.S. ethanol industry, the Chicago Board of Trade (CBOT) launched the ethanol futures contract in March 2005. This contract is promoted by the CBOT as allowing ethanol producers to hedge corn crushing using strategies similar to those used in soybean crushing. The similarities end, however, when the lack of short-term correlation between corn and ethanol prices is compared to the strong correlation between soybean and soy product prices. This contrast motivates the examination of the price risk management capabilities of the CBOT’s ethanol futures contract. Standard hedging methodology is applied to weekly cash and futures price data from March 23, 2005 through March 7, 2007. Findings include (1) for two- to eight-week... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Ethanol futures; Hedging; Cross hedging; Corn crushing; Processing hedge. |
| Ano: 2007 |
URL: http://purl.umn.edu/37557 |
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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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| Dahlgran, Roger A.. |
| Recently developed ethanol futures contracts now allow direct-hedging by ethanol producers. This study examines the effectiveness of one-through eight-week hedges between 2005 and 2008. Our findings show (a) ethanol inventory hedging effectiveness is significant for two-week and longer hedges, and increases with the hedging horizon; (b) ethanol futures are significantly superior to gasoline futures for hedging ethanol price risk for two-week and longer hedges; (c) the corn crushing hedge, utilizing corn and ethanol futures, is effective and provides price risk management capabilities comparable to those provided by the soybean crush hedge. |
| Tipo: Journal Article |
Palavras-chave: Corn crushing; Cross-hedging; Ethanol futures; Hedging; Processing hedge; Agricultural Finance; Crop Production/Industries. |
| Ano: 2009 |
URL: http://purl.umn.edu/50081 |
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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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| 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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| 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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| Hanson, Steven D.; Myers, Robert J.; Hilker, James H.. |
| Many agricultural producers face cash price distributions that are effectively truncated at a lower limit through participation in farm programs designed to support farm prices and incomes. For example, the 1996 Federal Agricultural Improvement Act (FAIR) makes many producers eligible to obtain marketing loans which truncate their cash price realization at the loan rate, while allowing market prices to freely equilibrate supply and demand. This paper studies the effects of truncated cash price distributions on the optimal use of futures and options. The results show that truncation in the cash price distribution facing an individual producer provides incentives to trade options as well as futures. We derive optimal futures and options trading rules under... |
| Tipo: Journal Article |
Palavras-chave: Farm programs; Futures; Hedging; Options; Truncation; Marketing. |
| Ano: 1999 |
URL: http://purl.umn.edu/15152 |
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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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| Haigh, Michael S.; Holt, Matthew T.. |
| In many studies the assumption is made that traders only encounter one type of price risk. In reality, however, traders are exposed to multiple price risks, and often have several relevant derivative instruments available with which to hedge price uncertainty. In this study, commodity, foreign exchange, and freight futures contracts are analyzed for their effectiveness in reducing price uncertainty for international grain traders. A theoretical model is developed for a representative European importer to depict a realistic trading problem encountered by an international grain trading corporation exposed to more than one type of price risk. The traditional method of estimating hedge ratios by Ordinary Least Squares (OLS) is compared to the Seemingly... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Hedging; Multivariate GARCH; Foreign exchange; Freight and commodity futures; Marketing; F3; C3; G1. |
| Ano: 1999 |
URL: http://purl.umn.edu/23997 |
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| Registros recuperados: 50 | |
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