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Cash Settlement of Lean Hog Futures Contracts Reexamined AgEcon
Frank, Julieta; Gomez, Miguel I.; Kunda, Eugene L.; Garcia, Philip.
In 1997 the Chicago Mercantile Exchange replaced its live hog futures contract with a cash settlement mechanism based on a Lean Hog Index. Although cash settlement was expected to increase the use of the contract as a hedging tool, producers and packers are concerned that convergence between cash and futures prices is not occurring and that the volatility of the lean hog contract basis has increased in recent years. The purpose of the paper is to reexamine cash settlement of lean hog futures contracts as a hedging tool, focusing on basis behavior and management of basis risk. We also investigate alternative hedging instruments that take into account location differences between regional cash prices and the CME lean hog index. Our results indicate that...
Tipo: Conference Paper or Presentation Palavras-chave: Basis behavior; Cash settlement; Ex-ante basis risk; Lean hogs futures contract; Regional basis; Agricultural Finance.
Ano: 2008 URL: http://purl.umn.edu/37611
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