|
|
|
|
|
| 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 |
| |
|
|
| 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 |
| |
|
|
|
