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Optimal Hedging under Price and Quantity Uncertainty: The Case of a Cocoa Producer

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Cited by:

  1. Hendrik Bessembinder & Michael L. Lemmon, 2002. "Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets," Journal of Finance, American Finance Association, vol. 57(3), pages 1347-1382, June.
  2. Thiagu Ranganathan & Sarthak Gaurav & Ashish Singh, 2016. "Demand for Price Insurance among Farmers in India: A Choice Experiment-based Approach," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 10(2), pages 198-224, May.
  3. repec:dau:papers:123456789/11382 is not listed on IDEAS
  4. Gunther Glenk & Stefan Reichelstein, 2020. "Synergistic Value in Vertically Integrated Power‐to‐Gas Energy Systems," Production and Operations Management, Production and Operations Management Society, vol. 29(3), pages 526-546, March.
  5. Swaray, Raymond, 2011. "Commodity buffer stock redux: The role of International Cocoa Organization in prices and incomes," Journal of Policy Modeling, Elsevier, vol. 33(3), pages 361-369, May.
  6. Duncan, Steven Scott, 1988. "The relevant forecast of variance of income for marketing decisions under uncertainty," ISU General Staff Papers 198801010800009839, Iowa State University, Department of Economics.
  7. Berck, Peter & Rosen, Kenneth T., 1984. "Hedging with a housing starts futures contract," CUDARE Working Papers 43307, University of California, Berkeley, Department of Agricultural and Resource Economics.
  8. Wojciechowski, Jan & Ames, Glenn C.W. & Turner, Steven C. & Miller, Bill R., 2000. "Marketing Of Cotton Fiber In The Presence Of Yield And Price Risk," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 32(3), pages 1-9, December.
  9. ap Gwilym, Rhys & Ebrahim, M. Shahid, 2013. "Can position limits restrain ‘rogue’ trading?," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 824-836.
  10. Robert J. Myers & Stanley R. Thompson, 1989. "Generalized Optimal Hedge Ratio Estimation," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(4), pages 858-868.
  11. Viaene, Jean-Marie & Zilcha, Itzhak, 1995. "Multiple uncertainty, forward-futures markets and international trade," Bank of Finland Research Discussion Papers 3/1995, Bank of Finland.
  12. Alghalith, Moawia, 2006. "A note on hedging cost and basis risks," Economic Modelling, Elsevier, vol. 23(3), pages 534-537, May.
  13. Broll, Udo & Wong, Kit Pong, 2002. "Optimal full-hedging under state-dependent preferences," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(5), pages 937-943.
  14. Benninga, Simon & Eldor, Rafael & Zilcha, Itzhak, 1983. "Optimal hedging in the futures market under price uncertainty," Economics Letters, Elsevier, vol. 13(2-3), pages 141-145.
  15. Puntsag, Davgadorj, 2020. "Mongolian mineral export basket risk: A Portfolio theory approach," Resources Policy, Elsevier, vol. 68(C).
  16. Alghalith, Moawia, 2010. "Energy price uncertainty and the manufacturing sector," Energy, Elsevier, vol. 35(12), pages 5354-5356.
  17. Alexander, Vickie J. & Musser, Wesley N. & Mason, George, 1986. "Futures Markets and Firm Decisions Under Price, Production, and Financial Uncertainty," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 18(2), pages 39-50, December.
  18. Joost M.E. Pennings & Raymond M. Leuthold, 1999. "Futures Exchange Innovations: Reinforcement versus Cannibalism," Finance 9905003, University Library of Munich, Germany.
  19. ap Gwilym, Rhys & Ebrahim, M. Shahid & El Alaoui, Abdelkader O. & Rahman, Hamid & Taamouti, Abderrahim, 2020. "Financial frictions and the futures pricing puzzle," Economic Modelling, Elsevier, vol. 87(C), pages 358-371.
  20. Novak, F.S. & Unterschultz, J., 1991. "Hedging Canadian Feedlot Cattle Revisited," Staff Paper Series 232503, University of Alberta, Department of Resource Economics and Environmental Sociology.
  21. Gouzaye, Amadou & Vitale, Jeffrey D. & Epplin, Francis M. & Adam, Brian D. & Stoecker, Arthur L., 2013. "The Value of Price Stabilization Policy for Cotton Producers in Burkina Faso," 2013 Annual Meeting, February 2-5, 2013, Orlando, Florida 142882, Southern Agricultural Economics Association.
  22. Troncoso Sepúlveda, Ricardo & Cabas Monje, Juan, 2019. "Factibilidad del uso de contratos de futuros del Chicago Mercantile Exchange para la cobertura del riesgo de precio en el ganado bovino chileno," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 90, pages 9-44, January.
  23. Shafiqur Rahman & M. Shahid Ebrahim, 2005. "The Futures Pricing Puzzle," Computing in Economics and Finance 2005 35, Society for Computational Economics.
  24. Imad Moosa, 2004. "Is there a need for hedging exposure to foreign exchange risk?," Applied Financial Economics, Taylor & Francis Journals, vol. 14(4), pages 279-283.
  25. Pandey, Ajay, 2008. "Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets," IIMA Working Papers WP2008-06-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
  26. Marcello Spanò, 2013. "Theoretical explanations of corporate hedging," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 3(7), pages 84-102, July.
  27. Tronstad, Russell, 1989. "Optimal Cash Grain Sale, Storage, and Hedging Decisions for Grain Producers: A Stochastic Dynamic Programming Analysis," 1989 Annual Meeting, July 30-August 2, Baton Rouge, Louisiana 270518, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  28. Mahul, Olivier, 2002. "Hedging Price Risk in the Presence of Crop Yield and Revenue Insurance," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24881, European Association of Agricultural Economists.
  29. Carter, Colin A. & Schaefer, K. Aleks & Scheitrum, Daniel, 2021. "Raising cane: Hedging calamity in Australian sugar," Journal of Commodity Markets, Elsevier, vol. 21(C).
  30. Xing, Liu & Pietola, Kyosti, 2005. "Forward Hedging Under Price and Production Risk of Wheat," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24467, European Association of Agricultural Economists.
  31. Dubman, Robert W., 1988. "Establishing Peanut Purchasing Contract Terms With Uncertain Market Prices And Input Supplies," Journal of Food Distribution Research, Food Distribution Research Society, vol. 19(1), pages 1-14, February.
  32. Alghalith, Moawia, 2008. "The manufacturing base under energy price uncertainty," Energy Economics, Elsevier, vol. 30(4), pages 1951-1956, July.
  33. Dalal, Ardeshir J. & Alghalith, Moawia, 2009. "Production decisions under joint price and production uncertainty," European Journal of Operational Research, Elsevier, vol. 197(1), pages 84-92, August.
  34. Joost M.E. Pennings & Raymond M. Leuthold, 1999. "Commodity Futures Contract Viability: A Multidisciplinary Approach," Finance 9905002, University Library of Munich, Germany.
  35. Dömötör, Barbara, 2017. "Optimal hedge ratio in a biased forward market under liquidity constraints," Finance Research Letters, Elsevier, vol. 21(C), pages 259-263.
  36. Felipe Aldunate & Jaime Casassus, 2010. "Consumption and Hedging in Oil Importing Developing Countries," Documentos de Trabajo 376, Instituto de Economia. Pontificia Universidad Católica de Chile..
  37. Stückler, Maria, 2002. "Handel auf Terminkontraktmärkten," Department of Economics Working Paper Series 80, WU Vienna University of Economics and Business.
  38. Wilson, William W., 1982. "Hedging Effectiveness of U.S. Wheat Futures Markets," Agricultural Economics Reports 23215, North Dakota State University, Department of Agribusiness and Applied Economics.
  39. Viaene, Jean-Marie & Zilcha, Itzhak, 1995. "Multiple uncertainty, forward-futures markets and international trade," Discussion Papers, Series II 255, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  40. Adam-Muller, Axel F. A., 1997. "Export and hedging decisions under revenue and exchange rate risk: A note," European Economic Review, Elsevier, vol. 41(7), pages 1421-1426, July.
  41. Gemmill, Gordon, 1985. "Optimal hedging on futures markets for commodity-exporting nations," European Economic Review, Elsevier, vol. 27(2), pages 243-261, March.
  42. Ing-Haw Cheng & Wei Xiong, 2014. "Why Do Hedgers Trade So Much?," The Journal of Legal Studies, University of Chicago Press, vol. 43(S2), pages 183-207.
  43. Dennis Frestad, 2018. "Managing earnings risk under SFAS 133/IAS 39: the case of cash flow hedges," Review of Quantitative Finance and Accounting, Springer, vol. 51(1), pages 159-197, July.
  44. C. W. Morgan & A. J. Rayner & C. Vaillant, 1999. "Agricultural futures markets in LDCs: a policy response to price volatility?," Journal of International Development, John Wiley & Sons, Ltd., vol. 11(6), pages 893-910.
  45. Blank, Steven C., 1989. "Hedging Objectives, Hedging Markets, And The Relevant Range Of Hedge Ratios," Working Papers 225826, University of California, Davis, Department of Agricultural and Resource Economics.
  46. Ricardo Troncoso-Sepúlveda & Juan Cabas-Monje, 2019. "Feasibility of using futures contracts of the Chicago Mercantile Exchange for hedging price risk in Chilean cattle," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 90, pages 9-44, Enero - J.
  47. Brown, David P. & Sappington, David E. M., 2022. "The Impact of Wholesale Price Caps on Forward Contracting," Working Papers 2022-12, University of Alberta, Department of Economics.
  48. Wenming Shi & Kevin X. Li & Zhongzhi Yang & Ganggang Wang, 2017. "Time-varying copula models in the shipping derivatives market," Empirical Economics, Springer, vol. 53(3), pages 1039-1058, November.
  49. Varangis, Panos & Thigpen, Elton & Satyanarayan, Sudhakar & DEC, 1994. "The use of New York cotton futures contracts to hedge cotton price risk in developing countries," Policy Research Working Paper Series 1328, The World Bank.
  50. Yannick Le Pen & Benoît Sévi, 2013. "Futures trading and the excess comovement of commodity prices," Post-Print hal-01613916, HAL.
  51. Thiagu Ranganathan & Usha Ananthakumar, 2017. "Hedging in Presence of Crop Yield, Crop Revenue and Rainfall Insurance," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(1), pages 151-171, March.
  52. Harvey Lapan & Giancarlo Moschini & Steven D. Hanson, 1991. "Production, Hedging, and Speculative Decisions with Options and Futures Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(1), pages 66-74.
  53. Thomas Conlon & John Cotter & Ramazan Gençay, 2016. "Commodity futures hedging, risk aversion and the hedging horizon," The European Journal of Finance, Taylor & Francis Journals, vol. 22(15), pages 1534-1560, December.
  54. Pennings, Joost M.E. & Garcia, Philip & Irwin, Scott H. & Good, Darrel L., 2003. "How To Group Market Participants? Heterogeneity In Hedging Behavior," 2003 Annual meeting, July 27-30, Montreal, Canada 21963, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  55. Campbell, Robert B. & Turnovsky, Stephen J., 1985. "An analysis of the stabilizing and welfare effects of intervention in spot and futures markets," Journal of Public Economics, Elsevier, vol. 28(2), pages 165-209, November.
  56. Wilson, William W. & Wagner, Robert & Nganje, William E., 2003. "Strategic Hedging For Grain Processors," Agribusiness & Applied Economics Report 23637, North Dakota State University, Department of Agribusiness and Applied Economics.
  57. Lei, Li-Fen, 1992. "Using futures and option contracts to manage price and quantity risk: A case of corn farmers in central Iowa," ISU General Staff Papers 1992010108000011326, Iowa State University, Department of Economics.
  58. Marcello Spanò, 2013. "Theoretical explanations of corporate hedging," International Journal of Business and Social Research, LAR Center Press, vol. 3(7), pages 84-102, July.
  59. Songjiao Chen & William Wilson & Ryan Larsen & Bruce Dahl, 2016. "Risk Management for Grain Processors and “Copulas”," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 64(2), pages 365-382, June.
  60. Libo Yin & Liyan Han, 2015. "Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 151-181, January.
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  62. Larson, Donald F. & Varangis, Panos & Yabuki, Nanae, 1998. "Commodity risk management and development," Policy Research Working Paper Series 1963, The World Bank.
  63. Pennings, Joost M. E. & M. Leuthold, Raymond, 2001. "Introducing new futures contracts: reinforcement versus cannibalism," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 659-675, October.
  64. Hunter, William C. & Smith, Stephen D., 2002. "Risk management in the global economy: A review essay," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 205-221, March.
  65. Jules Sadefo Kamdem & Zoulkiflou Moumouni, 2020. "Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 631-655, September.
  66. Bataa, Erdenebat, 2012. "Macroeconomic risks of Mongolia and ways to mitigate them," MPRA Paper 72386, University Library of Munich, Germany, revised 25 Jun 2013.
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  68. Boum-Jong Choe, 1992. "The precautionary demand for commodity stocks," Policy Research Working Paper Series 935, The World Bank.
  69. Felipe Aldunate & Jaime Casassus, 2012. "Consumption and Hedging in Oil†Importing Developing Countries," European Financial Management, European Financial Management Association, vol. 18(5), pages 896-928, November.
  70. Alghalith, Moawia, 2005. "Estimation with Price and Output Uncertainty," Journal of Applied Economics, Universidad del CEMA, vol. 8(2), pages 1-11, November.
  71. Kelly, Valerie A., 2005. "Farmers' Demand for Fertilizer in Sub-Saharan Africa," Staff Paper Series 11612, Michigan State University, Department of Agricultural, Food, and Resource Economics.
  72. Gary E. Bond & Stanley R. Thompson & Jane M. Geldard, 1985. "Basis Risk And Hedging Strategies For Australian Wheat Exports," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 29(3), pages 199-209, December.
  73. Joel G. Maxcy, 2004. "Contract Length as Risk Management When Labor is not Homogeneous," LABOUR, CEIS, vol. 18(2), pages 177-189, June.
  74. Zacharias, Thomas P. & Lange, Mark D. & Gleason, William J. & Traylor, Harlon D., 1987. "A Producer-Level Cross-Hedge For Rough Rice Using Wheat Futures," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 19(2), pages 1-8, December.
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  76. Moawia Alghalith, 2006. "Price and output risk: empirical analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 13(6), pages 391-393.
  77. Bell, Peter N, 2014. "The variance-minimizing hedge with put options," MPRA Paper 62156, University Library of Munich, Germany.
  78. Araba, Narjiss, 2022. "Organic markets: a safe haven from volatility," 96th Annual Conference, April 4-6, 2022, K U Leuven, Belgium 321209, Agricultural Economics Society - AES.
  79. Nyassoke Titi Gaston Clément & Sadefo Kamdem Jules & Fono Louis Aimé, 2022. "Dynamic optimal hedge ratio design when price and production are stochastic with jump," Annals of Finance, Springer, vol. 18(3), pages 419-428, September.
  80. Korn, Olaf & Merz, Alexander, 2016. "How to hedge if the payment date is uncertain?," CFR Working Papers 07-14 [rev.], University of Cologne, Centre for Financial Research (CFR).
  81. Liu, Jianmin & Rausser, Gordon, 1993. "Can Futures Trading Play a Role in China's Land Allocation and Food Security Policy?," CUDARE Working Papers 198619, University of California, Berkeley, Department of Agricultural and Resource Economics.
  82. Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2019. "New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies," Working Papers hal-02417459, HAL.
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  85. Maria Stückler, 2002. "Handel auf Terminkontraktmärkten," Department of Economics Working Papers wuwp080, Vienna University of Economics and Business, Department of Economics.
  86. Chambers, Robert G., 2006. "Some Empirical Implications of State-Contingent Production Models," 2006 Conference (50th), February 8-10, 2006, Sydney, Australia 137789, Australian Agricultural and Resource Economics Society.
  87. Varangis, Panos & Larson, Don, 1996. "Dealing with commodity price uncertainty," Policy Research Working Paper Series 1667, The World Bank.
  88. Zant, Wouter, 2001. "Hedging Price Risks of Farmers by Commodity Boards: A Simulation Applied to the Indian Natural Rubber Market," World Development, Elsevier, vol. 29(4), pages 691-710, April.
  89. Nyassoke Titi Gaston Clément & Jules Sadefo-Kamdem & Louis Aimé Fono, 2019. "Dynamic Optimal Hedge Ratio Design when Price and Production are stochastic with Jump," Working Papers hal-02417401, HAL.
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  92. Mahul, Olivier, 2002. "Hedging Price Risk In The Presence Of Crop Yield And Revenue Insurance," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19070, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  93. Thiagu Ranganathan & Sarthak Gaurav & Ashish Singh, 2014. "Using choice experiments, we estimate the willingness to pay for price insurance among cotton and paddy farmers in the Indian state of Gujarat. We also identify the interactions between the demand for," IEG Working Papers 340, Institute of Economic Growth.
  94. Dömötör, Barbara & Bihary, Zsolt, 2018. "Menedzserösztönzők hatása a vállalati fedezésre [Manager incentives-based model of corporate hedging]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 701-710.
  95. Sarassoro, Gboroton F. & Leuthhold, Raymond M., 1989. "International Risk Management: Optimal Hedging for the Government Export Agency in the Ivory Coast," 1989 Occasional Paper Series No. 5 197722, International Association of Agricultural Economists.
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  97. Augusto Castillo R. & Rafael Aguila, 2005. "Estrategias Optimas De Cobertura En Presencia De Incertidumbre En Costos Y Cantidad," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 8(2), pages 88-110.
  98. Korn, Olaf, 2009. "Hedging price risk when payment dates are uncertain," CFR Working Papers 07-14, University of Cologne, Centre for Financial Research (CFR).
  99. Viaene, Jean-Marie & Zilcha, Itzhak, 1995. "Multiple uncertainty, forward-futures markets and international trade," Discussion Papers, Series II 255, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  100. Mumey, G.A. & Bauer, L. & Boyda, A., 1988. "An Estimate of Risk and Returns From Cropping Alternatives," Project Report Series 232065, University of Alberta, Department of Resource Economics and Environmental Sociology.
  101. Pennings, Joost M. E. & Garcia, Philip, 2004. "Hedging behavior in small and medium-sized enterprises: The role of unobserved heterogeneity," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 951-978, May.
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