Hedge Effectiveness for Western Australia Crops
AbstractThis paper reports a series of pre-trade investigations into the hedge effectiveness of futures contracts of wheat, barley, and canola for Western Australia hedgers. Hedge ratios were estimated through the ordinary least square model, the vector autoregressive model, and the vector error-correction model. Hedging effectiveness was measured using risk reduction method and utility maximization method. Results indicate that, despite being thinly traded contracts, futures on Australia Securities Exchange are more effective in wheat, barley, and canola in terms of price risks minimization and utility maximization, comparing with futures contracts on Chicago Board of Trade and Intercontinental Exchange. Results suggest that using the local exchange is more efficient in risk management.
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Bibliographic InfoPaper provided by Australian Agricultural and Resource Economics Society in its series 2013 Conference (57th), February 5-8, 2013, Sydney, Australia with number 152154.
Date of creation: 2013
Date of revision:
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Postal: AARES Central Office Manager, Crawford School of Public Policy, ANU, Canberra ACT 0200
Phone: 0409 032 338
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More information through EDIRC
Hedge Effectiveness; Hedge Ratio; Western Australia Crops; Crop Production/Industries; International Relations/Trade; Research Methods/ Statistical Methods;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-07-15 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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