Price Risk and Risk Management in Agriculture

• Autorzy: Udo Broll , Peter Welzel , Kit Pong Wong
• Języki publikacji: EN

Abstrakty

EN

This note studies the risk-management decisions of a risk-averse farmer. The farmer faces multiple sources of price uncertainty. He sells commodities to two markets at two prices, but only one of these markets has a futures market. We show that the farmer's optimal commodity futures market position, i.e., a cross-hedge strategy, is actually an over-hedge, a full-hedge, or an under-hedge strategy, depending on whether the two prices are strongly positively correlated, uncorrelated, or negatively correlated, respectively. (original abstract)

Słowa kluczowe

EN

Price risk; Agricultural prices; Risk management

PL

Ryzyko cenowe; Ceny produktów rolnych; Zarządzanie ryzykiem

• Czasopismo: Contemporary Economics
• Rocznik: 2013
• Tom: 7
• Numer: nr 2
• Strony: 17--20

Twórcy

autor

Udo Broll

• Technische Universität Dresden, Germany

autor

Peter Welzel

• University of Augsburg, Germany

autor

Kit Pong Wong

• University of Hong Kong, Hong Kong

Bibliografia

• Allen, D. W., Lueck, D. (2003). The Nature of the Farm: Contracts, Risk and Organizsation in Agriculture. Cambridge, MA: MIT Press.
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• Broll, U., Wong, K. P., & Zilcha, I. (1999). Multiple Currencies and Hedging. Economica, 66(264), 421-432.
• Chang, E. C., Wong, K. P. (2003). Cross-Hedging with Currency Options and Futures. Journal of Financial and Quantitative Analysis, 38(3), 555-574.
• Food and Agriculture Organization (2011, June 2). Price Volatility in Food and Agricultural Markets: Policy Responses. Retrieved from: http://www.globalbioenergy.org/uploads/media/1106_FAO_et_al._-_Price_volatility_in_food_and_agricul-tural_markets_policy_responses_.pdf
• Frechette, D. L. (2000). The Demand for Hedging and the Value of Hedging Opportunities. American Journal of Agricultural Economics, 82(4), 897-907.
• Gilbert, C. L. (2010). How to Understand High Food Prices. Journal of Agricultural Economics, 61(2), 398-425.
• Haigh M. S. Holt, M. T. (2000). Hedging Multiple Price Uncertainty in International Grain Trade. American Agricultural Journal of Economics, 82(4), 881-896.
• Hardy, G. H., Littlewood, J. E., Pólya, G. (1934). Inequalities. London, UK: Cambridge University Press.
• Hudson, D. (2007). Agricultural Markets and Prices. Malden, MA: Blackwell.
• Ingersoll, J. E. Jr. (1987). Theory of Financial Decision Making. Savage, MD: Rowman and Littlefield.
• Prakash, A. (2011). Why Volatility Matters. In A. Prakash (Ed.), Safeguarding Food Security in Volatile Global Markets (pp. 1-24). Rome: FAO.
• Prakash, A., Gilbert, C. L. (2011). Rising Vulnerability in the Global Food System: Beyond Market Fundamentals. In A. Prakash (Ed.), Safeguarding Food Security in Volatile Global Markets (pp. 45-66), Rome: FAO.
• UNCTAD. (2011). Price Information in Financialized Commodity Markets: The Role of Information. New York, NY: United Nations Publication. Retrieved from http://unctad.org/en/Docs/ gds20111_en.pdf
• Ziegler, J. (2012). Wir lassen Sie verhungern. Muenchen: Bertelsmann.

Identyfikatory

DOI

10.5709/ce.1897-9254.79