Hedging multiple price uncertainty in international grain trade

被引:46
作者
Haigh, MS [1 ]
Holt, MT
机构
[1] Texas A&M Univ, Dept Agr Econ, College Stn, TX 77843 USA
[2] Univ Arizona, Dept Agr & Resource Econ, Tucson, AZ 85721 USA
关键词
commodity and freight futures; multiple risk; multivariate GARCH;
D O I
10.1111/0002-9092.00088
中图分类号
F3 [农业经济];
学科分类号
0202 ; 020205 ; 1203 ;
摘要
Commodity and freight futures contracts are analyzed for their effectiveness in reducing uncertainty for international traders. A theoretical model is developed for a trader exposed to several types of risk. OLS hedge ratio estimation is compared to the SUR and the multivariate GARCH methodologies. Explicit modeling of the time-variation in hedge ratios via the multivariate GARCH methodology, using all derivatives, and taking into account dependencies between prices, results in reductions in risk, even after accounting for transaction costs. Results confirm that while the commodity futures contracts are important for hedging risk, freight futures are a useful mechanism for reducing risk.
引用
收藏
页码:881 / 896
页数:16
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