scholarly journals Hedging Effectiveness of Commodity Futures Contracts to Minimize Price Risk: Empirical Evidence from the Italian Field Crop Sector

Risks ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 213
Author(s):  
Carlotta Penone ◽  
Elisa Giampietri ◽  
Samuele Trestini
Keyword(s):  
Financial Markets ◽  
Futures Markets ◽  
Futures Contracts ◽  
Price Risk ◽  
Field Crop ◽  
Exchange Market ◽  
Income Risk ◽  
The North ◽  
Hedging Effectiveness ◽  
American Counterpart

Over the last years, farmers have been increasingly exposed to income risk due to the volatility of the commodities prices. Among others, hedging in futures markets (i.e., financial markets) represents an available strategy for producers to cope with income risks at farm level. To better understand the advantages of such promising tools, this paper aims at analyzing the hedging effectiveness for soybean, corn and milling wheat producers in Italy. Following the literature, three different methodologies (i.e., naïve, OLS, GARCH) are applied for the estimation of the hedge portfolio, then compared to an unhedged portfolio for assessing the income risk reduction. Findings confirm the hedging effectiveness of futures contracts for all the considered commodities, showing also that this effect increases with longer hedge horizons, and also showing better performances for the European exchange market (i.e., Euronext), compared to the North American counterpart.

Examining the Hedging Effectiveness of Futures Contracts over Pre and Post Financial Crisis Period: Evidence from National Stock Exchange of India

2015 ◽  
Vol 3 (2) ◽  
Author(s):  
Kapil Gupta ◽  
Mandeep Kaur
Keyword(s):  
Financial Crisis ◽  
Stock Exchange ◽  
Futures Contracts ◽  
Price Risk ◽  
Hedge Ratio ◽  
Crisis Period ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
Time Invariant

Present study examines the efficiency of futures contracts in hedging unwanted price risk over highly volatile period i.e. June 2000 - December 2007 and January 2008 – June 2014, pre and post-financial crisis period, by using S&PC NXNIFTY, CNXIT and BANKNIFTY for near month futures contracts. The hedge ratios have been estimated by using five methods namely Ederingtons Model, ARMA-OLS, GARCH (p,q), EGARCH (p,q) and TGARCH (p,q). The study finds that hedging effectiveness increased during post crisis period for S&PC NXNIFTY and BANKNIFTY. However, for CNXIT hedging effectiveness was better during pre-crisis period than post crisis. The study also finds that time-invariant hedge ratio is more efficient than time-variant hedge ratio.

scholarly journals Hedging effectiveness for international index futures markets

2018 ◽  
Vol 32 (1) ◽  
pp. 149-159
Author(s):  
Alexandros Koulis ◽  
George Kaimakamis ◽  
Christina Beneki
Keyword(s):  
Futures Markets ◽  
Futures Contracts ◽  
Index Futures ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
The Usa ◽  
Conventional Models ◽  
Market Indexes

Abstract This paper investigates the hedging effectiveness of the International Index Futures Markets using daily settlement prices for the period 4 January 2010 to 31 December 2015. Standard OLS regressions, Error Correction Model (ECM), as well as Autoregressive Distributed Lag (ARDL) cointegration model are employed to estimate corresponding hedge ratios that can be employed in risk management. The analyzed sample consists of daily closing market rates of the stock market indexes of the USA and the European futures contracts. The findings indicate that the time varying hedge ratios, if estimated through the ARDL model, are more efficient than the fixed hedge ratios in terms of minimizing the risk. Additionally, there is evidence that the comparative advantage of advanced econometric approaches compared to conventional models is enhanced further for capital markets within peripheral EU countries

Hedging House Price Risk with Futures Contracts after the Bubble Burst

2014 ◽  
Author(s):  
Patrick J. Schorno ◽  
Steve Swidler ◽  
Michael D. Wittry
Keyword(s):  
House Price ◽  
Futures Contracts ◽  
Price Risk ◽  
Bubble Burst ◽  
House Price Risk

Getting the Core: A Neo‐institutionalist Approach to the EMU

1995 ◽  
Vol 30 (3) ◽  
pp. 347-369 ◽  
Author(s):  
Miriam L. Campanella
Keyword(s):  
Financial Markets ◽  
Monetary Union ◽  
Trade Agreement ◽  
Maastricht Treaty ◽  
Convergence Criteria ◽  
The North ◽  
Single European Act ◽  
Effective Role ◽  
Set Up ◽  
New Institutions

THE NEW REGIONALISM, MANIFESTED IN EUROPE BY THE SINGLE European Act and the Maastricht Treaty (1992) and in North America by the signature of the North-American Free Trade Agreement (NAFTA 1993), is centred on strategic policies and new institutions, the aims of which are to achieve a more effective role in global competition. In Europe, the shift is marked by the impending process of monetary union and the creation of its related institutions. The new approach agreed in the Maastricht Treaty sets out four requirements for eligibility to membership of monetary union. Convergence criteria embodying the judgment of financial markets about future inflation, exchange rate and fiscal policy appeared to be the second best choice for governments seeking to institutionalize their commitment to inflation-avoiding policies. The whole mechanism is meant first to provide the region with a credible monetary institution able to win over the financial markets and secondly to set up bulwarks to the inflation-prone pressures of domestic sheltered interests. Thirdly, the aim is to commit member countries, through a so-called targeting exercise (in Keohane's words) to accomplishing the agreed objectives with monetary discipline and macroeconomic adjustment.

scholarly journals Factors that Influence Farmer’s Behavior Towards Risk

2021 ◽  
Vol 226 ◽  
pp. 00030
Author(s):  
Muhamad Nurdin Yusuf ◽  
Agus Yuniawan Isyanto ◽  
Sudradjat Sudradjat
Keyword(s):  
Logistic Regression ◽  
Paddy Fields ◽  
Price Risk ◽  
Land Area ◽  
Income Risk ◽  
Production Risk ◽  
Prone Area ◽  
Risk Takers ◽  
Paddy Farmers ◽  
Flood Prone Area

The research was carried out with the aim to find out the behavior of farmers towards risk and the factors that influence it. The research sample was 100 paddy farmers in flood-prone area paddy fields in Pangandaran District, West Java Province, Indonesia. Farmer’s behavior towards risk was analyzed using quadratic utility functions, while the factors that influence farmer’s behavior towards risk were analyzed using logistic regression. The results showed farmers 87 was risk neutral, while 13 farmer risk takers were farmers. Education, familys size and income significantly influence farmer’s behavior towards risk; while age, experience, land area, production risk, price risk, income risk and group did not significantly influence farmer’s behavior towards risk.

scholarly journals Razvijeni oblik trgovine na robnim berzama - trziste robnih fjucersa -

2003 ◽  
Vol 44 (158) ◽  
pp. 7-43 ◽  
Author(s):  
Milan Eremic
Keyword(s):  
Complex System ◽  
Futures Markets ◽  
Commodity Markets ◽  
Commodity Futures ◽  
Futures Contracts ◽  
Commodity Trade ◽  
Commodity Exchange ◽  
Commodity Futures Markets ◽  
The World ◽  
The Usa

At the very beginning of this paper, we stress the fact that capitalism, during a very long period of its emergence and development, was based on simple forms of commodity trading. It is true that capital left its mark on these simple forms. However, it did not change its simple character. Several centuries were to pass in for capital to build its own autochthonous forms of commodity exchange, the forms inherent in capitalism. The early forms of commodity futures, as the basic instrument of this developed commodity exchange, are thought to have been introduced on the Chicago Board of Trade - CBOT in 1985. The introduction of commodity futures contracts into commodity exchange enabled commodity markets to be divided into physical commodity markets and contract markets. This was the beginning of a complex system of commodity trade, the emergence of new economic entities in commodity markets and the development of a very complex system of trading, settlement and trade clearing through commodity futures contracts. The construction of this new system of commodity trade has lasted more than a century and during its gradual development a tremendous construct has been created, a market structure of extraordinary internal complexity and a solid logical design. The process of creating commodity futures market in the USA was outlined only in the early 1970s. We can say that it is an almost perfectly developed system, being today a dominant system in the world. Almost 100 percent of all commodity futures markets in the world are based on the commodity futures markets in the USA. The only exception is the London Metal Exchange, which is, although not being any less perfect, essentially different from the American exchanges.

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