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Cotton Price Risk Management across Different Countries

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Author Info
Wang, Qizhi
Chidmi, Benaissa
Abstract

Cotton 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.

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Publisher Info
Paper provided by Southern Agricultural Economics Association in its series 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia with number 46762.

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Date of creation: 16 Jan 2009
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Handle: RePEc:ags:saeana:46762

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Related research
Keywords: cotton price; New York future market prices; the regression model; the VAR model; the error-correction model; Agribusiness; Agricultural Finance;

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  1. MacDonald, Ronald, 2000. "Concepts to calculate equilibrium exchange rates : an overview," Discussion Paper Series 1: Economic Studies 2000,03, Deutsche Bundesbank, Research Centre. [Downloadable!]
  2. Mark W. Ditsch & Raymond M. Leuthold, 1996. "Evaluating the Hedging Potential of the Lean Hog Futures Contract," Finance 9609003, EconWPA. [Downloadable!]
  3. Baffes, John & Ajwad, Mohamed I., 1998. "Detecting price links in the world cotton market," Policy Research Working Paper Series 1944, The World Bank. [Downloadable!]
  4. 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. [Downloadable!]
  5. 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. [Downloadable!] (restricted)
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This page was last updated on 2009-12-11.

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