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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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| Rahman, Shaikh Mahfuzur; Dorfman, Jeffrey H.; Turner, Steven C.. |
| Cottonseed crushers face substantial risk in terms of input and output price variability and they are limited in their planning by the lack of a viable futures contract for cottonseed or cottonseed products. This study examines the feasibility of cross-hedging cottonseed products using the soybean complex futures. Different cross-hedging strategies are evaluated for eight time horizons relative to the expected profit and utility of the crusher. A Bayesian approach is employed to estimate both model parameters and optimal hedge ratios, allowing consistency with expected utility maximization in the presence of estimation risk. The results reveal that both whole cottonseed and cottonseed products can be successfully cross-hedged using soybean complex futures.... |
| Tipo: Journal Article |
Palavras-chave: Bayesian decision science; Cottonseed; Cross-hedging; Risk management; Crop Production/Industries. |
| Ano: 2004 |
URL: http://purl.umn.edu/31114 |
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| Diersen, Matthew A.; Klein, Nicole L.. |
| Low trading volume in the CME stocker cattle contracts has made hedgers and speculators reluctant to use the contracts. Traders need decision tools to discover prices or to evaluate quoted prices that may not contain all the information in the market. The number of head of stocker weight cattle sold on the spot market has increased in recent years while the practice of cross-hedging stocker weight cattle against the feeder cattle contract remains risky. A model explains the spread between feeder cattle and stocker cattle futures prices as a function of feed prices, live cattle prices, and seasonal factors. The volatility of spot stocker cattle prices is comparable to spot feeder cattle prices, supporting the idea of using feeder cattle implied volatility... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Stocker cattle; Cross-hedging; Volatility; Limit order; Thin markets; Marketing. |
| Ano: 2000 |
URL: http://purl.umn.edu/18940 |
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| Sanders, Dwight R.; Manfredo, Mark R.. |
| An empirical methodology is developed for statistically testing the hedging effectiveness among competing futures contracts. The presented methodology is based on the encompassing principle, widely used in the forecasting literature, and applied here to minimum variance hedging regressions. Intuitively, the test is based on an alternative futures contract's ability to reduce residual basis risk by offering either diversification or a smaller absolute level of basis risk than a preferred futures contract. The methodology is easily extended to cases involving multiple hedging instruments and general hedge ratio models. Empirical applications suggest that the encompassing methodology can provide information beyond traditional approaches of comparing hedging... |
| Tipo: Journal Article |
Palavras-chave: Cross-hedging; Encompassing; Hedging effectiveness; Research Methods/ Statistical Methods. |
| Ano: 2004 |
URL: http://purl.umn.edu/31136 |
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| Franken, Jason R.V.; Parcell, Joseph L.. |
| Increased use of alternative fuels and low commodity prices have contributed to the recent expansion of the U.S. ethanol industry. As with any competitive industry, some level of output price risk exists in the form of volatility; yet, no actively traded ethanol futures market exists to mitigate output price risk. This study reports estimated minimum variance cross-hedge ratios between Detroit spot cash ethanol and the New York Mercantile Exchange unleaded gasoline futures for 1-, 4-, 8-, 12-, 16-, 20-, 24-, and 28-week hedge horizons. The research suggests that a one-to-one cross-hedge ratio is not appropriate for some horizons. |
| Tipo: Journal Article |
Palavras-chave: Cross-hedging; Ethanol; Gas; G13; Q13; Q42. |
| Ano: 2003 |
URL: http://purl.umn.edu/43152 |
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