IDEAS home Printed from https://ideas.repec.org/p/ags/aaea00/21804.html
   My bibliography  Save this paper

Optimal Hedging Ratios And Hedging Risk For Grain By-Products

Author

Listed:
  • Coffey, Brian K.
  • Anderson, John D.
  • Parcell, Joseph L.

Abstract

Optimal cross hedge ratios are estimated for a number of grain by-products used as livestock feed. Risk associated with these cross hedge ratios is measured to determine if cross hedging reduces grain by-product price risk. Results provide useful risk management guidelines for livestock and dairy producers.

Suggested Citation

  • Coffey, Brian K. & Anderson, John D. & Parcell, Joseph L., 2000. "Optimal Hedging Ratios And Hedging Risk For Grain By-Products," 2000 Annual meeting, July 30-August 2, Tampa, FL 21804, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea00:21804
    DOI: 10.22004/ag.econ.21804
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/21804/files/sp00co01.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.21804?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Anderson, Ronald W & Danthine, Jean-Pierre, 1981. "Cross Hedging," Journal of Political Economy, University of Chicago Press, vol. 89(6), pages 1182-1196, December.
    2. Brian L. Buhr, 1996. "Hedging Holstein Steers in the Live Cattle Futures Market," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 18(1), pages 103-114.
    3. Elam, Emmett W. & Davis, James, 1990. "Hedging Risk For Feeder Cattle With A Traditional Hedge Compared To A Ratio Hedge," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 22(2), pages 1-8, December.
    4. Elam, Emmett W., 1988. "Estimated Hedging Risk With Cash Settlement Feeder Cattle Futures," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 13(1), pages 1-8, July.
    5. Blake, Martin L. & Catlett, Lowell B., 1984. "Cross Hedging Hay Using Corn Futures: An Empirical Test," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 9(1), pages 1-8, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Elisa Scarpa & Matteo Manera, 2008. "Pricing and hedging illiquid energy derivatives: An application to the JCC index," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(5), pages 464-487, May.
    2. Adams, Zeno & Gerner, Mathias, 2012. "Cross hedging jet-fuel price exposure," Energy Economics, Elsevier, vol. 34(5), pages 1301-1309.
    3. Ahmad Bash & Abdullah M. Al-Awadhi & Fouad Jamaani, 2016. "Measuring the Hedge Ratio: A GCC Perspective," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(7), pages 1-1, July.
    4. Regmund, Wes & Robinson, John & Anderson, David, "undated". "Higher and More Stable Returns From Cottonseed," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252813, Southern Agricultural Economics Association.
    5. Van Winkle, Tyler W. & Schroeder, Ted C., 2008. "Spatial Price Discovery, Dynamics, and Leadership in Evolving Distiller’s Grain Markets," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6933, Southern Agricultural Economics Association.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Brake, William & Anderson, John D. & Coffey, Brian K., 2006. "Geographic and Seasonal Differences in the Feeder Cattle Hedging Risk," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida 35325, Southern Agricultural Economics Association.
    2. Coffey, Brian K. & Anderson, John D. & Parcell, Joseph L., 2002. "Spatial Analysis Of Feeder Cattle Hedging Risk," 2002 Annual Meeting, July 28-31, 2002, Long Beach, California 36586, Western Agricultural Economics Association.
    3. Bina, Justin D. & Schroeder, Ted C. & Tonsor, Glynn T., 2022. "Conditional feeder cattle hedge ratios: Cross hedging with fluctuating corn prices," Journal of Commodity Markets, Elsevier, vol. 26(C).
    4. Franken, Jason R.V. & Parcell, Joe L., 2003. "Cash Ethanol Cross-Hedging Opportunities," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 35(3), pages 510-516, December.
    5. Shroeder, Ted C. & Mintert, James R., 1988. "Hedging Feeder Steers And Heifers In The Cash-Settled Feeder Cattle Futures Market," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 13(2), pages 1-11, December.
    6. Schroeder, Ted C. & Yang, Xiaolou, 2001. "Hedging Wholesale Beef Cuts," 2001 Annual Meeting, July 8-11, 2001, Logan, Utah 36091, Western Agricultural Economics Association.
    7. Manfredo, Mark R. & Sanders, Dwight R., 2003. "Minimum Variance Hedging And The Encompassing Principle: Assessing The Effectiveness Of Futures Hedges," 2003 Annual meeting, July 27-30, Montreal, Canada 22247, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    8. Shafer, Carl E., 1992. "Hedge Ratios and Basis Behavior: An Intuitive Insight?," Faculty Paper Series 257887, Texas A&M University, Department of Agricultural Economics.
    9. Zhao, Jieyuan & Goodwin, Barry K., 2012. "Dynamic Cross-Hedge Ratios: An Application of Copula Models," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124610, Agricultural and Applied Economics Association.
    10. Elam, Emmett W. & Davis, James, 1990. "Hedging Risk For Feeder Cattle With A Traditional Hedge Compared To A Ratio Hedge," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 22(2), pages 1-8, December.
    11. Zacharias, Thomas P. & Lange, Mark D. & Gleason, William J. & Traylor, Harlon D., 1987. "A Producer-Level Cross-Hedge For Rough Rice Using Wheat Futures," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 19(2), pages 1-8, December.
    12. Regmund, Wes & Robinson, John & Anderson, David, "undated". "Higher and More Stable Returns From Cottonseed," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252813, Southern Agricultural Economics Association.
    13. Suleyman Basak & Georgy Chabakauri, 2012. "Dynamic Hedging in Incomplete Markets: A Simple Solution," The Review of Financial Studies, Society for Financial Studies, vol. 25(6), pages 1845-1896.
    14. Michaël Dewally & Luke Marriott, 2008. "Effective Basemetal Hedging: The Optimal Hedge Ratio and Hedging Horizon," JRFM, MDPI, vol. 1(1), pages 1-36, December.
    15. Udo Broll & Peter Welzel & Kit Pong Wong, 2013. "Price Risk and Risk Management in Agriculture," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 7(2), June.
    16. Pelizzon, Loriana & Weber, Guglielmo, 2009. "Efficient portfolios when housing needs change over the life cycle," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2110-2121, November.
    17. Dahlgran, Roger A., 2007. "Inventory and Transformation Hedging Effectiveness in Corn Crushing," 2007 Conference, April 16-17, 2007, Chicago, Illinois 37557, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    18. Kim, Jae-Gyeong, 1993. "Futures markets in an open economy," ISU General Staff Papers 1993010108000011461, Iowa State University, Department of Economics.
    19. Tabesh, Hamid, 1987. "Hedging price risk to soybean producers with futures and options: a case study," ISU General Staff Papers 1987010108000010306, Iowa State University, Department of Economics.
    20. Guy V. G. Stevens, 1995. "On the inverse of the covariance matrix in portfolio analysis," International Finance Discussion Papers 528, Board of Governors of the Federal Reserve System (U.S.).

    More about this item

    Keywords

    Marketing;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:aaea00:21804. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/aaeaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.