| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
The Volatility Spillover Effects and Optimal Hedging Strategy in the Corn Market
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| Autores: |
Wu, Feng
Guan, Zhengfei
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| Data: |
2009-05-01
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| Ano: |
2009
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| Palavras-chave: |
Volatility Spillover
GARCH
Optimal Hedge Ratio
Energy Price
Corn Price
Risk and Uncertainty
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| Resumo: |
This article examines the volatility spillovers from energy market to corn market. Using a volatility spillover model from the finance literature, we found significant spillovers from energy market to corn cash and futures markets, and the spillover effects are time-varying. The business cycle proxied by crude oil prices is shown to affect the magnitude of spillover effects over time. Based on the strong informational linkage between energy market and corn market, a cross hedge strategy is proposed and its performance studied. The simulation outcomes show that compared to alternative strategies of no hedge, constant hedge, and GARCH hedge, the cross hedge does not yield superior risk-reduction performance.
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| Tipo: |
Conference Paper or Presentation
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| Idioma: |
Inglês
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| Identificador: |
http://purl.umn.edu/49453
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| Relação: |
Agricultural and Applied Economics Association>2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin
Selected Paper
613699
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| Formato: |
26
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