Calculation of Optimum Hedge Ratio for Imported Inputs: Soybean Meal | ||
| اقتصاد کشاورزی و توسعه | ||
| Article 2, Volume 25, Issue 4 - Serial Number 100, March 2018, Pages 21-35 PDF (183.69 K) | ||
| Document Type: Original Article | ||
| DOI: 10.30490/aead.2018.60992 | ||
| Authors | ||
| Esmaeil Pishbahar* 1; Kh Abdolkarim Saleh2; Gh. Dashti3 | ||
| 1Associate Professor of Agricultural Economics, University of Tabriz, Tabriz, Iran | ||
| 2MSc Student of Agricultural Economics, University of Tabriz Tabriz, Iran | ||
| 3Professor of Agricultural Economics, University of Tabriz, Tabriz, Iran | ||
| Abstract | ||
| The production of poultry and eggs are depended to many factors. Soybean meal is the main input for poultry industry. Participate in the futures market or operate a futures market, in Iran, as hedging instruments, creates ensuring from expected revenues and decrease volatility of inputs and products price in manufacturing plants. Therefore, the main objective of this study was to calculate the hedging rate with using two models: “Minimum-variance” and “Mean-variance”. The results show that with the purchase of 121% of the soybean meal from futures markets 61% of the input price risk is reduced. According to the results, the hedging ratio increases with entering the exchange rate to model, but without increase of hedging instruments, the efficiency of hedging ratio decreases. | ||
| Keywords | ||
| Futures Market; Hedging Ratio; Minimum-Variance; Mean-Variance; soybean meal | ||
| References | ||
|
1. Bera, Anil.K., Garcia, Ph. and Roh, J. (1997). Estimation of time-varying hedge ratios for corn and soybeans: BGARCH and random coefficient approaches. OFOR Paper Number 97-06. 2. Cecchetti, S. G., Cumby, R. E. and Figlewski, S. (1988). Estimation of the optimal futures hedge. Review of Economics and Statistics, 70: 623–630. 3. Chen, S. S., Lee, C. F. and Shrestha, K. (2001). On a mean-generalized semi-variance approach to determining the hedge ratio. Journal of Futures Markets, 21: 581–598. 4. Chen, S. S., Lee, C. F. and Shrestha, K. (2002). Futures hedge ratios: a review. The Quarterly Review of Economics and Finance, 43: 433–465. 5. Customs Organization of the Islamic Republic of Iran. (2014). 6. Derakhshan, M. (2005). Derivatives and risk management in oil markets. International Institute for Energy Studies, First Edition. (Persian) 7. Ebrahimi, M. and Ghanbari, A. (2010). Coverage of the risks of fluctuations in oil revenues using future contracts in Iran. Economic research journal, 9 (3): 173-204. (Persian) 8. Guo, Z., White, B. and Mugera, A. (2013). Hedge effectiveness for Western Australia crops. Contributed paper prepared for presentation at the 57th AARES annual conference, Sydney, New South Wales, 5th -8th February, 2013. 9. Hatemi, J.A. and El-Khatib,Y. (2010). Stochastic optimal hedge ratio: theory and evidence. MPRA Paper No. 26153, posted 26. October 2010. 10. Johnson, L. L. (1960). The theory of hedging and speculation in commodity futures. Review of Economic Studies, 27: 139–151. 11. Kolb, R. W. and Okunev, J. (1993). Utility maximizing hedge ratios in the extended mean Gini framework. Journalof Futures Markets, 13: 597–609. 12. Kroner, K. F. and Sultan, J. (1993). Time-varying distributions and dynamic hedging with foreign currency futures. Journal of Financial and Quantitative Analysis, 28: 535–551. 13. Livestock and Poultry Support Company. (2014). 14. Myers, R. J. and Thompson, S. R. (1989). Generalized optimal hedge ratio estimation. American Journal of Agricultural Economics, 71: 858–868. 15. Pendar, M., Shakeri, A. and Salami, H. (2012). The risk pricing management of importing soybean oil seeds by future markets. Journal of Iranian Agricultural development and Economics Research, No. 4: 479-492. (Persian) 16. Rahmani, R. and Torkamani, J. (2011). The Impact of price and production risks on the status of chicken and cattle in fars province. Journal of Agricultural Economics, 4 (1): 51-78. (Persian) | ||
|
Statistics Article View: 575 PDF Download: 280 |
||
Journal management system. designed by sinaweb