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A BEHAVIORAL APPROACH TOWARDS FUTURES CONTRACT USAGE. AgEcon
Pennings, Joost M.E.; Leuthold, Raymond M..
We propose a behavioral decision-making model to investigate what factors, observable as well as unobservable, owner-managers consider regarding futures contract usage. The conceptual model consists of two phases, reflecting the two-stage decision structure of manager’s use of futures. In the first phase owner-managers consider whether futures are within the market choice set for the enterprise. In the second phase the owner-manager decides whether or not to initiate a futures position when confronted with a concrete choice situation. In both phases owner-manager’s beliefs and perceptions play an important role. The proposed model is tested on a data set of Dutch farmers, based on computer-assisted personal interviews. Because we incorporate latent...
Tipo: Working or Discussion Paper Palavras-chave: Hedging; Futures; Structural equation modeling; Behavioral models; Futures exchanges; Choice models; Farmers; Institutional and Behavioral Economics.
Ano: 2001 URL: http://purl.umn.edu/46448
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Accounting for Heterogeneity in Hedging Behavior: Comparing & Evaluating Grouping Methods AgEcon
Pennings, Joost M.E.; Garcia, Philip; Irwin, Scott H..
Heterogeneity, i.e., the notion that individuals respond differently to economic stimuli, can have profound consequences for the interpretation of behavior and the formulation of agricultural policy. This paper compares and evaluates three grouping techniques that can be used to account for heterogeneity in financial behavior. Two are well established: company-type grouping and cluster analysis. A third, the generalized mixture regression model, has recently been developed and is worth considering as market participants are grouped such that their response to the determinants of economic behavior is similar. We evaluate the grouping methods in a hedging framework by assessing their ability to reflect relationships consistent with theory. The empirical...
Tipo: Conference Paper or Presentation Palavras-chave: Economic behavior; Heterogeneity; Hedging; Methods; Risk and Uncertainty; A10; B40; C1; D0; G0; L2; Q13.
Ano: 2011 URL: http://purl.umn.edu/114787
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Alternative Hedging Strategies in Maize Production to Cope with Climate Variability and Change AgEcon
Fuhrer, Jurg; Beniston, Martin; Calanca, Pierluigi; Torriani, Daniele Simone.
Climate change with increasing climate variability is likely to alter risks in agricultural production. The effectiveness of using weather derivatives to hedge against drought risks for rain-fed grain maize production was investigated for current (1981-2003) and future (2070- 2100) climates in Switzerland. The climate change scenario was extrapolated from results of a regional climate model (HIRHAM4) based on the IPCC A2 emission scenario. In addition, a sensitivity analysis was performed by varying the mean and variance of the initial probability space for the seasonal precipitation sum. Profits and risks with and without hedging were compared using the analogy of the value-at-risk measure (VaR), i.e., a quantile-based measure of risk. A Monte Carlo chain...
Tipo: Conference Paper or Presentation Palavras-chave: Climatic change; Climate risks; Drought; Maize production; Weather derivatives; Hedging; Crop Production/Industries; Environmental Economics and Policy; Risk and Uncertainty.
Ano: 2007 URL: http://purl.umn.edu/9275
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Cálculo del costo de la prima de un seguro contra caída del precio de maíz blanco: Caso Sinaloa. Colegio de Postgraduados
Rivera Silva, Ana Laura.
El presente trabajo compara el costo total de una póliza de seguros para la caída de precios del maíz blanco de Sinaloa contra el costo de la cobertura simple ofrecida por ASERCA. El comportamiento sistemático de los precios fue modelado con un modelo autorregresivo, mientras que la parte aleatoria fue manejada por un ajuste de una distribución de Laplace a los residuales. Los resultados muestran que la prima del seguro por tonelada es al menos tan buena como la prima para ofrecida para la cobertura de ASERCA. El diferencial del costo y el hecho de que una póliza de seguro opera directamente en pesos; muestran que el seguro es una alternativa para la gestión de riesgos en los precios del maíz, con una menor carga a los contribuyentes. _______________...
Palavras-chave: ASERCA; Cobertura; Distribución Laplace; Maíz; Prima; Seguro; Hedging; Insurance; Laplace distribution; Premium; Maestría; Economía.
Ano: 2010 URL: http://hdl.handle.net/10521/196
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Cálculo del costo de la prima de un seguro contra caída del precio de maíz blanco: Caso Sinaloa. Colegio de Postgraduados
Rivera Silva, Ana Laura.
El presente trabajo compara el costo total de una póliza de seguros para la caída de precios del maíz blanco de Sinaloa contra el costo de la cobertura simple ofrecida por ASERCA. El comportamiento sistemático de los precios fue modelado con un modelo autorregresivo, mientras que la parte aleatoria fue manejada por un ajuste de una distribución de Laplace a los residuales. Los resultados muestran que la prima del seguro por tonelada es al menos tan buena como la prima para ofrecida para la cobertura de ASERCA. El diferencial del costo y el hecho de que una póliza de seguro opera directamente en pesos; muestran que el seguro es una alternativa para la gestión de riesgos en los precios del maíz, con una menor carga a los contribuyentes. _______________...
Palavras-chave: ASERCA; Cobertura; Distribución Laplace; Maíz; Prima; Seguro; Hedging; Insurance; Laplace distribution; Premium; Maestría; Economía.
Ano: 2010 URL: http://hdl.handle.net/10521/196
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CALENDAR VS. WEEKS TO EXPIRATION LIVESTOCK BASIS FORECASTS: WHICH IS BETTER? AgEcon
Tonsor, Glynn T.; Khuyvetter, Kevin C.; Mintert, James R..
The ability to accurately forecast basis is crucial to risk management strategies employed by many agribusiness firms. Previous research has examined how to effectively use basis forecasts and what factors affect basis, but literature focusing on forecasting basis is sparse. This research evaluates the impact of adopting a time-to-expiration approach, as compared to the more common calendar approach, when forecasting feeder cattle, live cattle, and hog basis. Furthermore, the optimal number of past year's basis levels to include in making basis predictions is evaluated in an out-of-sample framework. Absolute basis forecasts errors are generated for all three commodities and evaluated to determine the signifcance of the two issues mentioned above....
Tipo: Conference Paper or Presentation Palavras-chave: Livestock prices; Basis; Hedging; Basis forecasts; Livestock Production/Industries; Marketing.
Ano: 2003 URL: http://purl.umn.edu/18978
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Cash Wheat Marketing: Strategies for Real People AgEcon
Brorsen, B. Wade; Anderson, Kim B..
A new paradigm is needed in extension marketing programs. Attempts to help producers time the market, either through cask sales or futures trading, appear to be of little benefit. Marketing extension programs need to place less emphasis on outlook and futures trading and more emphasis on simple marketing strategies that people really use. An empirical example of strategies for Oklahoma wheat producers shows selling cash wheat at harvest and participating in government programs as the preferred marketing strategy. Implications for extension programs in other states are that extension programs can help producers decide whether to store their grain and whether to participate in farm programs.
Tipo: Journal Article Palavras-chave: Economics; Efficient markets; Extension; Forward contracts; Hedging; Price analysis; Risk; Stochastic dominance; Agribusiness; Crop Production/Industries; Marketing.
Ano: 1994 URL: http://purl.umn.edu/62351
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Characterizing Distributions of Class III Milk Prices: Implications for Risk Management AgEcon
Wang, Dabin; Tomek, William G..
Descriptive statistics and time-series econometric models are used to characterize the behavior of monthly fluid milk prices. Prices in April, May and June appear to be more variable than those in subsequent months, and the spring-time prices are perhaps skewed. Econometric models can capture the historical behavior of spot prices, but forecasts converge to the marginal distribution of the sample prices in about six months. Futures prices for Class III milk have the expected time-to-maturity effect and converge to the respective monthly distributions of the cash prices at contract maturity (as they must, since the contracts are cash settled). Thus, econometric models and futures quotes provide similar information about price behavior at contract...
Tipo: Conference Paper or Presentation Palavras-chave: Hedging; Marketing strategies; Milk futures; Milk prices; Risk management; Risk and Uncertainty.
Ano: 2005 URL: http://purl.umn.edu/19322
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Discussion: Commodity Price Discovery: Problems That Have Solutions or Solutions That Are Problems AgEcon
Fortenbery, T. Randall.
This paper examines three invited papers focused on commodity prices. Public responses to high nominal commodity prices and perceived increases in price risk have ranged from attempts to assign blame, attempts to change contracting arrangements, and development of public policy that ‘‘protects’’ the market from future occurrences of unacceptable behavior. Interestingly, a result of increased commodity price volatility has suggested that futures markets no longer ‘‘work.’’ This is ironic given that futures markets initially came into existence as tools for managing the negative impacts of commodity price risk. In response to perceptions of market failure some are looking for strategies to regulate the who and how of futures trading.
Tipo: Journal Article Palavras-chave: Futures markets; Hedging; Price risk; Risk management; Speculation; Agribusiness; Agricultural Finance; Marketing; Risk and Uncertainty; G13; Q11; Q13; Q14.
Ano: 2009 URL: http://purl.umn.edu/53084
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EUROPEAN RAPESEED AND FOSSIL DIESEL: THRESHOLD COINTEGRATION ANALYSIS AND POSSIBLE IMPLICATIONS AgEcon
Ziegelback, Martin; Kastner, Gregor.
For European operators of biofuels plants there are not many hedge vehicles available to hedge operational margins. Cross hedges for rapeoil (with the rapeseed futures contract) and RME (with the NYMEX diesel futures contract) could be useful instruments. We use recent developments on threshold cointegration approaches to investigate if asymmetric dynamic adjusting processes exist among rapeseed and diesel prices. The results suggest that a threeregime threshold cointegration model suitably explains the dynamics of the data.
Tipo: Conference Paper or Presentation Palavras-chave: Hedging; Rapeseed; Heating Oil; Threshold cointegration analysis; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Crop Production/Industries; Demand and Price Analysis; Environmental Economics and Policy; Farm Management; Financial Economics; Industrial Organization; Institutional and Behavioral Economics; Production Economics.
Ano: 2011 URL: http://purl.umn.edu/114741
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EVIDENCE OF FARMER FORWARD PRICING BEHAVIOR AgEcon
McNew, Kevin; Musser, Wesley N..
The current agricultural marketing literature has considerable controversy about the optimal use of hedging for farmers. Much of this literature has very limited data on farmer behavior and an evaluation of the outcome of this behavior. This paper uses data from a hedging game from Maryland marketing clubs for 1994-1998. Hypotheses concerning the consistency of farmer behavior with the research literature on hedging are considered. Results indicate that farmers do not achieve price enhancement from hedging. However, their decisions do not conform to implications of optimal hedging models in a number of dimensions. This analysis provides further information to help bridge the gap between academic research and practical hedging.
Tipo: Working or Discussion Paper Palavras-chave: Grain Marketing; Hedging; Risk Management; Demand and Price Analysis; Marketing.
Ano: 2000 URL: http://purl.umn.edu/28568
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Hedge Effectiveness Forecasting AgEcon
Dahlgran, Roger A.; Ma, Xudong.
This study focuses on hedging effectiveness defined as the proportionate price risk reduction created by hedging. By mathematical and simulation analysis we determine the following: (a) the regression R2 in the hedge ratio regression will generally overstate the amount of price risk reduction that can be achieved by hedging, (b) the properly computed hedging effectiveness in the hedge ratio regression will also generally overstate the amount of risk reduction that can be achieved by hedging, (c) the overstatement in (b) declines as the sample size increases, (d) application of estimated hedge ratios to non sample data results in an unbiased estimate of hedging effectiveness, (e) application of hedge ratios computed from small samples presents a significant...
Tipo: Conference Paper or Presentation Palavras-chave: Out of sample; Post sample; Hedging; Effectiveness; Forecasts; Simulation; Agricultural Finance.
Ano: 2008 URL: http://purl.umn.edu/37604
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Hedges and Trees: Incorporating Fire Risk into Optimal Decisions in Forestry Using a No-Arbitrage Approach AgEcon
Insley, Margaret; Lei, Manle.
This paper investigates the impact of including the risk of fire in an optimal tree harvesting model at the stand level, assuming timber prices follow a mean-reverting stochastic process. The relevant partial differential equation is derived under different assumptions about hedging the risk of fire. The assumption that fire risk is fully diversifiable is contrasted with the assumption that it can be hedged with another asset. It is conjectured that the risk-neutral probability of fire exceeds the historical probability of fire, which will affect forest land valuation. An empirical example is presented for two different silvicultural regimes.
Tipo: Journal Article Palavras-chave: Fire risk; Forest value; Hedging; Jumps; No-arbitrage; Optimal harvesting; Poisson process; Real options; Resource /Energy Economics and Policy.
Ano: 2007 URL: http://purl.umn.edu/7084
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Hedging a Government Entitlement: The Case of Countercyclical Payments AgEcon
Anderson, John D.; Coble, Keith H.; Miller, J. Corey.
This research evaluates whether the introduction of countercyclical payments creates an incentive for program crop producers to hedge the expected government payment using futures and/or options. Results indicate that some level of countercyclical payment hedging is optimal for risk-averse decision makers. However, optimal hedge ratios depend on planting time expectations of marketing year average price as well as on what crop, if any, has been planted on countercyclical payment base acres. These results suggest that the ability to hedge may make these payments more decoupled but also illustrate the distortion of producer behavior induced by farm programs.
Tipo: Journal Article Palavras-chave: Countercyclical payment; Expected utility; Hedging; Policy; Risk; Demand and Price Analysis; Risk and Uncertainty; Q12; Q13; Q18.
Ano: 2007 URL: http://purl.umn.edu/6299
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Hedging Break-Even Biodiesel Production Costs Using Soybean Oil Futures AgEcon
Graf, Johannes; McKenzie, Andrew M.; Popp, Michael P..
The effectiveness of hedging volatile input prices for biodiesel producers is examined over one- to eight-week time horizons. Results reveal that hedging break-even soybean costs with soybean oil futures offers significant reductions in input price risk. The degree of risk reduction is dependent upon type of hedge, naïve or risk-minimizing, and upon time horizon. In contrast, cross-hedging break-even poultry fat costs with soybean oil futures failed to reduce input price risk.
Tipo: Journal Article Palavras-chave: Biodiesel; Hedging; Poultry fat; Soybean oil; Agribusiness; Demand and Price Analysis; Environmental Economics and Policy.
Ano: 2008 URL: http://purl.umn.edu/90553
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Hedging in Presence of Market Access Risk AgEcon
Tonsor, Glynn T..
Existing literature predominantly assumes perfect knowledge of production methods when deriving optimal futures position hedging rules. This paper relaxes this assumption and recognizes situations where producers interested in hedging may not know the exact input mix that will subsequently be used in their physical operations. This uncertainty is built into a conceptual model subsequently used to demonstrate the impacts of this risk on optimal hedging behavior.
Tipo: Conference Paper or Presentation Palavras-chave: Distiller grains; Hedging; Market access risk; Risk management; Agricultural Finance.
Ano: 2008 URL: http://purl.umn.edu/37621
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Hedging Price Risk in the Presence of Crop Yield and Revenue Insurance AgEcon
Mahul, Olivier.
The demand for hedging against price uncertainty in the presence of crop yield and revenue insurance contracts is examined for two French wheat farms. The rationale for the use of options in addition to futures is first highlighted through the characterization of the first-best hedging strategy in the expected utility framework. It is then illustrated using numerical simulations. The presence of options is shown to allow the insured producer to adopt a more speculative position on the futures market. Futures are shown to be performing, in terms of willingness to receive. Options are weakly performing when futures markets are unbiased, while they are more performing when futures markets are biased.
Tipo: Conference Paper or Presentation Palavras-chave: Crop insurance; Hedging; Producer welfare; Simulation; Risk and Uncertainty.
Ano: 2002 URL: http://purl.umn.edu/24881
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HEDGING WITH FUTURES AND OPTIONS: A DEMAND SYSTEMS APPROACH AgEcon
Frechette, Darren L..
The optimal hedging portfolio is shown to include both futures and options under a variety of circumstances when the marginal cost of hedging is non-zero. Futures and options are treated as substitute goods, and properties of the resulting hedging demand system are explained. The overall optimal hedge ratio is shown to increase when the marginal cost of trading options is reduced. The overall optimal hedge ratio is shown to decrease when the marginal cost of trading futures is decreased. The implication is that hedging demand can be stimulated by reducing the perceived cost of trading options, by educating hedgers about options and by initiating programs like the Dairy Options Pilot Program. The demand systems approach is applied to estimate optimal...
Tipo: Conference Paper or Presentation Palavras-chave: Hedging; Options; Futures; Marketing.
Ano: 2000 URL: http://purl.umn.edu/18941
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HEDGING WITH FUTURES AND OPTIONS UNDER A TRUNCATED CASH PRICE DISTRIBUTION AgEcon
Hanson, Steven D.; Myers, Robert J.; Hilker, James H..
Many agricultural producers face cash price distributions that are effectively truncated at a lower limit through participation in farm programs designed to support farm prices and incomes. For example, the 1996 Federal Agricultural Improvement Act (FAIR) makes many producers eligible to obtain marketing loans which truncate their cash price realization at the loan rate, while allowing market prices to freely equilibrate supply and demand. This paper studies the effects of truncated cash price distributions on the optimal use of futures and options. The results show that truncation in the cash price distribution facing an individual producer provides incentives to trade options as well as futures. We derive optimal futures and options trading rules under...
Tipo: Journal Article Palavras-chave: Farm programs; Futures; Hedging; Options; Truncation; Marketing.
Ano: 1999 URL: http://purl.umn.edu/15152
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Improving Cattle Basis Forecasting AgEcon
Tonsor, Glynn T.; Dhuyvetter, Kevin C.; Mintert, James R..
Successful risk management strategies for agribusiness firms based on futures and options contracts are contingent on their ability to accurately forecast basis. This research addresses three primary questions as they relate to basis forecasting accuracy: (a) What is the impact of adopting a time-to-expiration approach, as compared to the more common calendar-date approach? (b) What is the optimal number of years to include in calculations when forecasting livestock basis using historical averages? and (c) What is the effect of incorporating current basis information into a historical-average-based forecast? Results indicate that use of the time-to-expiration approach has little impact on forecast accuracy compared to using a simple calendar approach, but...
Tipo: Journal Article Palavras-chave: Basis; Basis forecasts; Cattle prices; Current information; Hedging; Livestock Production/Industries.
Ano: 2004 URL: http://purl.umn.edu/31115
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