Cotton Price Risk Management across Different Countries
AbstractCotton price relationships between major cotton producers and New York cotton December future price are investigated by the regression model, the VAR model and the error-correction model, the error-correction model generates the hedge ratios that display the largest value in size in most of the cases except Australia. The results indicate that the price relationships between US, China and Australia and New York Future market prices are much higher than the relationships between other cotton producers and New York Future market prices.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Southern Agricultural Economics Association in its series 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia with number 46762.
Date of creation: 16 Jan 2009
Date of revision:
cotton price; New York future market prices; the regression model; the VAR model; the error-correction model; Agribusiness; Agricultural Finance;
This paper has been announced in the following NEP Reports:
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.:
- Protopapadakis, Aris & Stoll, Hans R, 1983.
" Spot and Futures Prices and the Law of One Price,"
Journal of Finance,
American Finance Association, vol. 38(5), pages 1431-55, December.
- Aris Protopapadakis & Hans R. Stoll, . "Spot and Futures Prices and the Law of One Price," Rodney L. White Center for Financial Research Working Papers 17-82, Wharton School Rodney L. White Center for Financial Research.
- Schweizer, Martin, 1999. "A guided tour through quadratic hedging approaches," SFB 373 Discussion Papers 1999,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Baffes, John & Ajwad, Mohamed I., 1998. "Detecting price links in the world cotton market," Policy Research Working Paper Series 1944, The World Bank.
- Ditsch, Mark W. & Leuthold, Raymond M., 1996. "Evaluating The Hedging Potential Of The Lean Hog Futures Contract," ACE OFOR Reports 14769, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
- Sanders, Dwight R. & Manfredo, Mark R., 2004. "Comparing Hedging Effectiveness: An Application of the Encompassing Principle," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 29(01), April.
- repec:wop:humbsf:1999-96 is not listed on IDEAS
- Mark W. Ditsch & Raymond M. Leuthold, 1996. "Evaluating the Hedging Potential of the Lean Hog Futures Contract," Finance 9609003, EconWPA.
- Lence, Sergio H. & Kimle, Kevin & Hayenga, Marvin L., 1992.
"A Dynamic Minimum Variance Hedge,"
Staff General Research Papers
11414, Iowa State University, Department of Economics.
- Kling, Catherine L. & Sexton, Richard & Carman, Hoy, 1991. "Market Integration, Efficiency of Arbitrage, and Imperfect Competition: Methodology and Application to U.S. Celery," Staff General Research Papers 1609, Iowa State University, Department of Economics.
- Bruce A. Babcock, 2008. "Breaking the Link between Food and Biofuels," Center for Agricultural and Rural Development (CARD) Publications 08-bp53, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- MacDonald, Ronald, 2000. "Concepts to Calculate Equilibrium Exchange Rates: An Overview," Discussion Paper Series 1: Economic Studies 2000,03, Deutsche Bundesbank, Research Centre.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.