IDEAS home Printed from https://ideas.repec.org/p/fth/colufu/171.html
   My bibliography  Save this paper

Basis Exepectations And Soybean Hedging Effectiveness

Author

Listed:
  • HAUSER, R.J.
  • GARCIA, P.
  • TUMBLIN, A.D.

Abstract

There are two issues which form the central focus of the paper: a) the role of basis expectations in measuring hedging effectiveness (HE), and b) the behavior of HE over time and space. An HE conceptual model is developed which emphasizes the explicit specification of the hedger's basis expectation. Alternative soybean basis expectation (forecast) models are then evaluated. One of two models—both of which are simple and practical—perform best, depending on contract expiration. An analysis of HE during 1966 to 1983 indicates that there was an increase in the risk-shifting opportunity associated with the soybean futures market, and that the possibility of nonstationary (over time) and nonconstant (over space) hedging effectiveness needs to be considered when analyzing direct and cross hedges.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Hauser, R.J. & Garcia, P. & Tumblin, A.D., 1988. "Basis Exepectations And Soybean Hedging Effectiveness," Papers 171, Columbia - Center for Futures Markets.
    • Handle: RePEc:fth:colufu:171
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    Citations

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


    Cited by:

    1. Viswanath Tirupattur & Robert J. Hauser & Nabil M. Chaherli, 1996. "Crop Yield and Price Distributional Effects on Revenue Hedging," Finance 9612004, University Library of Munich, Germany.
    2. Kastens, Terry L. & Jones, Rodney D. & Schroeder, Ted C., 1998. "Futures-Based Price Forecasts For Agricultural Producers And Businesses," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 23(1), pages 1-14, July.
    3. Tirupattur, Viswanath & Hauser, Robert J. & Chaherli, Nabil M., 1996. "Crop Yield And Price Distributional Effects On Revenue Hedging," ACE OFOR Reports 14766, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    4. Hatchett, Robert B. & Brorsen, B. Wade & Anderson, Kim B., 2010. "Optimal Length of Moving Average to Forecast Futures Basis," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 35(1), pages 1-16.
    5. Taylor, Mykel R. & Dhuyvetter, Kevin C. & Kastens, Terry L., 2006. "Forecasting Crop Basis Using Historical Averages Supplemented with Current Market Information," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 31(3), pages 1-19, December.
    6. Tomek, William G., 1993. "Dynamics of Price Changes: Implications for Agricultural Futures Markets," Staff Papers 121339, Cornell University, Department of Applied Economics and Management.
    7. Tomek, William G., 1996. "Commodity Futures Prices As Forecasts," Working Papers 127901, Cornell University, Department of Applied Economics and Management.
    8. Karali, Berna & McNew, Kevin & Thurman, Walter N., 2018. "Price Discovery and the Basis Effects of Failures to Converge in Soft RedWinter Wheat Futures Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 43(1), January.
    9. Bloznelis, Daumantas, 2017. "Hedging under square loss," MPRA Paper 83442, University Library of Munich, Germany.
    10. Tomek, William G. & Peterson, Hikaru Hanawa, 2000. "Risk Management In Agricultural Markets: A Survey," 2000 Producer Marketing and Risk Management Conference, January 13-14, Orlando, FL 19580, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    11. Shafer, Carl E., 1992. "Hedge Ratios and Basis Behavior: An Intuitive Insight?," Faculty Paper Series 257887, Texas A&M University, Department of Agricultural Economics.
    12. Franken, Jason R.V. & Irwin, Scott H. & Garcia, Philip, 2021. "Biodiesel hedging under binding renewable fuel standard mandates," Energy Economics, Elsevier, vol. 96(C).
    13. Kastens, Terry L. & Dhuyvetter, Kevin C., 1999. "Post-Harvest Grain Storing And Hedging With Efficient Futures," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 24(2), pages 1-24, December.

    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:fth:colufu:171. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Thomas Krichel (email available below). General contact details of provider: https://edirc.repec.org/data/gsclbus.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.