IDEAS home Printed from https://ideas.repec.org/p/ags/saeaed/6818.html
   My bibliography  Save this paper

Hedging Effectiveness around USDA Crop Reports

Author

Listed:
  • Singh, Navinderpal
  • McKenzie, Andrew M.

Abstract

It is well documented that “unanticipated” information contained in USDA crop reports induces large price reactions in corn and soybean markets. Thus, a natural question that arises from this literature is: To what extent are futures hedges able to remove or reduce increased price risk around report release dates? This paper addresses this question by simulating daily futures returns, daily cash returns and daily hedged returns around report release dates for two storable commodities (corn and soybeans) in two market settings (North Central Illinois and Memphis Tennessee). Various risk measures, including “Value at Risk,” are used to determine hedging effectiveness, and “Analysis of Variance” is used to uncover the underlying factors that contribute to hedging effectiveness.

Suggested Citation

  • Singh, Navinderpal & McKenzie, Andrew M., 2008. "Hedging Effectiveness around USDA Crop Reports," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6818, Southern Agricultural Economics Association.
  • Handle: RePEc:ags:saeaed:6818
    as

    Download full text from publisher

    File URL: http://purl.umn.edu/6818
    Download Restriction: no

    More about this item

    Keywords

    Agribusiness; Research Methods/ Statistical Methods;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:saeaed:6818. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search). General contact details of provider: http://edirc.repec.org/data/saeaaea.html .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.