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Costs of Futures Hedging in Corn and Soybean Markets

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  • Shi, Ruoding
  • Isengildina Massa, Olga

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  • Shi, Ruoding & Isengildina Massa, Olga, 2022. "Costs of Futures Hedging in Corn and Soybean Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 47(2), May.
    • Handle: RePEc:ags:jlaare:313311
    DOI: 10.22004/ag.econ.313311
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    References listed on IDEAS

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    1. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    2. Antonio S. Mello & John E. Parsons, 1995. "Maturity Structure Of A Hedge Matters: Lessons From The Metallgesellschaft Debacle," Journal of Applied Corporate Finance, Morgan Stanley, vol. 8(1), pages 106-121, March.
    3. Alexander, Carol & Prokopczuk, Marcel & Sumawong, Anannit, 2013. "The (de)merits of minimum-variance hedging: Application to the crack spread," Energy Economics, Elsevier, vol. 36(C), pages 698-707.
    4. Acharya, Viral V. & Lochstoer, Lars A. & Ramadorai, Tarun, 2013. "Limits to arbitrage and hedging: Evidence from commodity markets," Journal of Financial Economics, Elsevier, vol. 109(2), pages 441-465.
    5. Lence, Sergio H., 1996. "Relaxing The Assumptions Of Minimum-Variance Hedging," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 21(1), pages 1-17, July.
    6. Philip Garcia & Scott H. Irwin & Aaron Smith, 2015. "Futures Market Failure?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 97(1), pages 40-64.
    7. Riley, John Michael & Anderson, John D., 2010. "Comparison of Hedging Cost with Other Variable Input Costs," Journal of the ASFMRA, American Society of Farm Managers and Rural Appraisers, vol. 2010, pages 1-9.
    8. Joaquín Arias & B. Wade Brorsen & Ardian Harri, 2000. "Optimal hedging under nonlinear borrowing cost, progressive tax rates, and liquidity constraints," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 20(4), pages 375-396, April.
    9. Coffey, Brian K. & Tonsor, Glynn T. & Schroeder, Ted C., 2018. "Impacts of Changes in Market Fundamentals and Price Momentum on Hedging Live Cattle," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 43(1), January.
    10. Swanson, Krista & Coppess, Jonathan & Schnitkey, Gary, 2018. "Trade Timeline and Corn and Soybean Prices," farmdoc daily, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics, vol. 8, July.
    11. Xiaoli L. Etienne & Mindy L. Mallory & Scott H. Irwin, 2017. "Estimating the cost of pre‐harvest forward contracting corn and soybeans in Illinois before and after 2007," Agribusiness, John Wiley & Sons, Ltd., vol. 33(3), pages 358-377, June.
    12. Donald Lien, 2003. "The effect of liquidity constraints on futures hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(6), pages 603-613, June.
    13. Akash Deep, 2002. "Optimal dynamic hedging using futures under a borrowing constraint," BIS Working Papers 109, Bank for International Settlements.
    14. Yu, Wayne W. & Lui, Evans C.K. & Wang, Jacqueline W., 2010. "The predictive power of the implied volatility of options traded OTC and on exchanges," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 1-11, January.
    15. Dahlgran, Roger A., 2005. "Transaction Frequency and Hedging in Commodity Processing," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 30(3), pages 1-20, December.
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