Costs of Futures Hedging in Corn and Soybean Markets

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dc.contributor.authorShi, Ruodingen
dc.contributor.authorIsengildina-Massa, Olgaen
dc.date.accessioned2022-01-06T14:57:08Zen
dc.date.available2022-01-06T14:57:08Zen
dc.date.issued2021en
dc.date.updated2022-01-06T14:57:04Zen
dc.description.abstractThis study develops a comprehensive framework to measure, explain and anticipate the costs of futures hedging. Using historical futures prices and margin requirements, we simulate hedging costs for corn and soybeans over 2004-2018. Empirical distributions derived from the simulation results provide unconditional estimates of the costs of hedging as well as the probability of hedging failure. Conditional estimates assess the impact of margin requirements, price volatility and price changes as well as seasonal patterns using quantile regressions. Our findings demonstrate that price volatility is a main driver of the costs of hedging and can be used to anticipate future hedging costs.en
dc.description.versionAccepted versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.orcidIsengildina Massa, Olga [0000-0002-2024-5385]en
dc.identifier.urihttp://hdl.handle.net/10919/107421en
dc.language.isoenen
dc.rightsCreative Commons Attribution-NonCommercial 4.0 Internationalen
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/en
dc.titleCosts of Futures Hedging in Corn and Soybean Marketsen
dc.title.serialJournal of Agricultural and Resource Economicsen
dc.typeArticle - Refereeden
dc.type.dcmitypeTexten
dc.type.otherArticleen
dcterms.dateAccepted2021-07-14en
pubs.organisational-group/Virginia Techen
pubs.organisational-group/Virginia Tech/Agriculture & Life Sciencesen
pubs.organisational-group/Virginia Tech/Agriculture & Life Sciences/Agricultural & Applied Economicsen
pubs.organisational-group/Virginia Tech/All T&R Facultyen
pubs.organisational-group/Virginia Tech/Agriculture & Life Sciences/CALS T&R Facultyen

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