| Registro completo |
| Provedor de dados: |
AgEcon
|
| País: |
United States
|
| Título: |
Forward Hedging Under Price and Production Risk of Wheat
|
| Autores: |
Xing, Liu
Pietola, Kyosti
|
| Data: |
2005-09-28
|
| Ano: |
2005
|
| Palavras-chave: |
Hedging ratio
Risk
Forward contract
Financial Economics
Risk and Uncertainty
Q14
|
| Resumo: |
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 the optimal hedging ratio since the Finnish farmers do not have access to selling put options when they enter in a forward contract.
|
| Tipo: |
Conference Paper or Presentation
|
| Idioma: |
Inglês
|
| Identificador: |
17806
http://purl.umn.edu/24467
|
| Editor: |
AgEcon Search
|
| Relação: |
European Association of Agricultural Economists>2005 International Congress, August 23-27, 2005, Copenhagen, Denmark
Contributed Paper
|
| Formato: |
13
application/pdf
|
