ASSET STORABILITY AND HEDGING EFFECTIVENESS IN COMMODITY FUTURES MARKETS

This paper examines risk minimization hedging effectiveness for major storable and nonstorable agricultural commodity futures markets. Based on the error correction model – bivariate GARCH frameworks, some evidence is found that the hedging effectiveness is stronger for storable commodities than nonstorable commodities under consideration. The finding illustrates an important difference between storable and nonstorable commodities with regard to their hedging function.


Subject(s):
Issue Date:
2002
Publication Type:
Working or Discussion Paper
PURL Identifier:
http://purl.umn.edu/15826
Total Pages:
18
JEL Codes:
D82; G19
Series Statement:
FREC Staff Paper SP02-03




 Record created 2017-04-01, last modified 2018-01-22

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