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  • 标题:Risk Management Using Futures Contracts: The Impact of Spot Market Contracts and Production Horizons on the Optimal Hedge Ratio
  • 本地全文:下载
  • 作者:Kuwornu, John K.M. ; Kuiper, W. Erno ; Pennings, Joost M.E.
  • 期刊名称:Journal of Agribusiness
  • 印刷版ISSN:0738-8950
  • 出版年度:2006
  • 期号:suppl
  • 出版社:Journal of Agribusiness
  • 摘要:We specify a principal-agent marketing channel involving producers, wholesalers, retailers and a futures market. Our hedge ratio for producers appears to be much lower than the common price-risk minimising ones as we account for producers’ vertical contracts and, by using annual data, their production horizon. The Dutch ware potato marketing channel and its futures market in Amsterdam show that possibly through decreases in producers’ and wholesalers’ risk aversions, their optimal dynamic hedge ratios decreased from 38% and 12%, respectively, in 1982 to 18% and 10%, respectively, in 2003. These results comply with the decreased futures volume traded in Amsterdam over the years.
  • 关键词:Principal-Agent Model;Risk Management;Futures and Spot Market Contracts;Production Horizons;Food Marketing Channels
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