Hedging Feeder Steers And Heifers In The Cash-Settled Feeder Cattle Futures Market
Recent changes in the feeder cattle futures contract specifications are expected to reduce hedging risk and may result in changes in optimal hedging levels. This study provides an estimate of feeder cattle hedge ratios associated with the new cash-settled feeder cattle futures contract and compares the levels of hedging risk present under the cash settled contract with the physical delivery contract. Hedging risks are compared for several weights of feeder steers and heifers and are analyzed across four market locations. Results indicate that hedging risk is generally, though not always, lower with cash settlement than under the physical delivery contract specifications.
Volume (Year): 13 (1988)
Issue (Month): 02 (December)
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- Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, vol. 48(5), pages 1149-1167, July.
- Anderson, Ronald W & Danthine, Jean-Pierre, 1981. "Cross Hedging," Journal of Political Economy, University of Chicago Press, vol. 89(6), pages 1182-1196, December.
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