000009897 001__ 9897
000009897 005__ 20180122193834.0
000009897 037__ $$a381-2016-22251
000009897 041__ $$aen
000009897 245__ $$aHedging Decisions of Importing Firms for U.S. Commodity with Multiple Risks: The case of Soybeans
000009897 260__ $$c2007
000009897 269__ $$a2007
000009897 300__ $$a45
000009897 336__ $$aConference Paper/ Presentation
000009897 390__ $$aReplaced with revised version of paper 07/05/07.
000009897 446__ $$aEnglish
000009897 490__ $$aSelected Paper: # 174638
000009897 500__ $$aReplaced with revised version of paper 07/05/07.
000009897 520__ $$aCommodity price, foreign exchange rate, and fuel oil price which directly impacts ocean freight  cost significantly, are generally more volatile in this era, and the volatility for these prices fluctuates over time. This study is concerned with estimating futures hedge ratios for an importing firm which imports from the U.S. Specifically, this study develops the optimal risk-minimizing hedge ratios for the joint hedging decision for a Japanese soybean importing firm based on the monthly data. A theoretical analysis of the hedged price revenue has been constructed according to the minimum variance hedging model. The hedge ratios of a variety of hedging scenarios, including 3-way hedge, 2-way hedge, and 1-way hedge, are derived. They are determined by the variances and covariances of the unhedged importer¡¯s price revenue and the returns from the soybean, heating oil, and exchange rate futures markets. Empirical results are achieved by using the conventional method and the time series techniques. The hedging effectiveness is compared by using in-sample and out-of-sample hedge periods based on two approaches: the minimum-variance reduction method and the utility-maximization method. The key results of this study are that an importing firm jointly hedge soybean price and exchange rate or jointly hedge soybean price and heating oil price can reduce more revenue risk than 3-way hedge and 1-way hedge, and the conventional method is more effective than the time series techniques. The empirical results presented make a contribution to developing an effective hedge strategy for the importing firm which imports commodities from the U.S.
000009897 650__ $$aMarketing
000009897 700__ $$aReed, Michael R.
000009897 700__ $$aZhang, Qiang
000009897 700__ $$aMaynard, Leigh J.
000009897 8564_ $$s475756$$uhttp://ageconsearch.umn.edu/record/9897/files/sp07zh01.pdf
000009897 887__ $$ahttp://purl.umn.edu/9897
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  Previous issue date: 2007
000009897 982__ $$gAmerican Agricultural Economics Association>2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon
000009897 980__ $$a381