Cotton Price Risk Management across Different Countries
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.
|Date of creation:||16 Jan 2009|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.saea.org/|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bruce A. Babcock, 2008. "Breaking the Link between Food and Biofuels," Center for Agricultural and Rural Development (CARD) Publications 08-bp53, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Sanders, Dwight R. & Manfredo, Mark R., 2004. "Comparing Hedging Effectiveness: An Application of the Encompassing Principle," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 29(01), April.
- Schweizer, Martin, 1999. "A guided tour through quadratic hedging approaches," SFB 373 Discussion Papers 1999,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Lence, Sergio H. & Kimle, Kevin & Hayenga, Marvin L., 1992.
"A Dynamic Minimum Variance Hedge,"
Staff General Research Papers
11414, Iowa State University, Department of Economics.
- Aris Protopapadakis & Hans R. Stoll, .
"Spot and Futures Prices and the Law of One Price,"
Rodney L. White Center for Financial Research Working Papers
17-82, Wharton School Rodney L. White Center for Financial Research.
- Richard J. Sexton & Catherine L. Kling & Hoy F. Carman, 1991.
"Market Integration, Efficiency of Arbitrage, and Imperfect Competition: Methodology and Application to U.S. Celery,"
American Journal of Agricultural Economics,
Agricultural and Applied Economics Association, vol. 73(3), pages 568-580.
- Kling, Catherine L. & Sexton, Richard & Carman, Hoy, 1991. "Market Integration, Efficiency of Arbitrage, and Imperfect Competition: Methodology and Application to U.S. Celery," Staff General Research Papers 1609, Iowa State University, Department of Economics.
- Mark W. Ditsch & Raymond M. Leuthold, 1996. "Evaluating the Hedging Potential of the Lean Hog Futures Contract," Finance 9609003, EconWPA.
- 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.
- MacDonald, Ronald, 2000. "Concepts to Calculate Equilibrium Exchange Rates: An Overview," Discussion Paper Series 1: Economic Studies 2000,03, Deutsche Bundesbank, Research Centre.
- Baffes, John & Ajwad, Mohamed I., 1998. "Detecting price links in the world cotton market," Policy Research Working Paper Series 1944, The World Bank.
When requesting a correction, please mention this item's handle: RePEc:ags:saeana:46762. 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)
If references are entirely missing, you can add them using this form.