摘要：Futures markets provide an important outlet for commercial traders to hedge their price risk; in turn, hedgers‟ connections to the physical market provide a foundation of market fundamentals to the futures markets. Participation by hedgers in the futures markets is important for both entities, and is subject to many factors. In this paper, we sought to study potential changes in hedgers‟ behavior by observing the changing relationship between their futures market positions and their physical grain stocks. This changing relationship was tested using a smooth-transitioning structural model that used data from the wheat contracts on the Chicago and Kansas City exchanges. In Chicago, we find stable levels of incremental hedging that significantly decline when futures price volatility is high and when delivery basis weakens significantly. Additionally, hedging participation has declined in recent years, coinciding with the commodity price boom. In the Kansas City contracts, in contrast, hedging behavior increased with high futures prices and, surprisingly, with increased futures price volatility. Overall, we were able to observe ostensible changes in hedgers‟ market participation under changing market conditions.
