Cross-Hedging Cottonseed Meal
This study examines the feasibility of cross-hedging cottonseed meal with soybean meal futures. A simple linear regression of cottonseed meal cash prices on soybean meal futures provides a direct price movement relationship. Using the estimated hedge ratios, the net realized prices are calculated for seven different cash markets. The net realized prices are higher than cash prices in three of the four years evaluated. The empirical analyses suggest soybean meal futures can be used as a potential cross-hedging vehicle for cash cottonseed meal.
Volume (Year): 19 (2001)
Issue (Month): 2 ()
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Web page: http://www.agecon.uga.edu/~jab/
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- Heifner, Richard G., 1972. "Optimal Hedging Levels and Hedging Effectiveness in Cattle Feeding," Agricultural Economics Research, United States Department of Agriculture, Economic Research Service, issue 2.
- Marvin L. Hayenga & Bingrong Jiang & Sergio H. Lence, 1996.
"Improving wholesale beef and pork product cross hedging,"
John Wiley & Sons, Ltd., vol. 12(6), pages 541-559.
- Hayenga, Marvin L. & Jiang, Bingrong & Lence, Sergio H., 1996. "Improving Wholesale Beef and Pork Product Cross Hedging," Staff General Research Papers 5004, Iowa State University, Department of Economics.
- Roger A. Dahlgran, 2000. "Cross-hedging the cottonseed crush: A case study," Agribusiness, John Wiley & Sons, Ltd., vol. 16(2), pages 141-158.
- Anderson, Ronald W & Danthine, Jean-Pierre, 1981. "Cross Hedging," Journal of Political Economy, University of Chicago Press, vol. 89(6), pages 1182-96, December.
- Castelino, Mark G & Francis, Jack C & Wolf, Avner, 1991. "Cross-Hedging: Basis Risk and Choice of the Optimal Hedging Vehicle," The Financial Review, Eastern Finance Association, vol. 26(2), pages 179-210, May.
- DeJong, David N., 1992. "Co-integration and trend-stationarity in macroeconomic time series : Evidence from the likelihood function," Journal of Econometrics, Elsevier, vol. 52(3), pages 347-370, June.
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