TY  - CPAPER 
AB  - The instability of commodity prices and the hypothesis that speculative behaviour was
one of its causes has brought renewed interest in futures markets. In this paper, the
hedging effectiveness of European and US wheat futures markets were studied to test
whether they were affected by the high price instability after 2007. In particular, the
focus of the paper is to test of whether the increasing presence of financialization of
commodity trading in futures markets mentioned in the literature have made them
divorced from the physical markets. A multivariate GARCH model was applied to
compute optimal hedging ratios. Important evidence was found of an improvement,
after 2007, in the effectiveness of hedging with the European futures.
AU  - Revoredo-Giha, Cesar
AU  - Zuppiroli, Marco
DA  - 2015
DA  - 2015
DO  - 10.22004/ag.econ.212486
DO  - doi
ID  - 212486
KW  - Demand and Price Analysis
KW  - Marketing
KW  - Futures prices
KW  - commodity prices
KW  - volatility
KW  - wheat
KW  - Europe.
L1  - https://ageconsearch.umn.edu/record/212486/files/Revoredo-Giha-Hedging%20effectiveness%20of%20European%20wheat%20futures%20markets-363.pdf
L2  - https://ageconsearch.umn.edu/record/212486/files/Revoredo-Giha-Hedging%20effectiveness%20of%20European%20wheat%20futures%20markets-363.pdf
L4  - https://ageconsearch.umn.edu/record/212486/files/Revoredo-Giha-Hedging%20effectiveness%20of%20European%20wheat%20futures%20markets-363.pdf
LA  - eng
LA  - English
LK  - https://ageconsearch.umn.edu/record/212486/files/Revoredo-Giha-Hedging%20effectiveness%20of%20European%20wheat%20futures%20markets-363.pdf
N2  - The instability of commodity prices and the hypothesis that speculative behaviour was
one of its causes has brought renewed interest in futures markets. In this paper, the
hedging effectiveness of European and US wheat futures markets were studied to test
whether they were affected by the high price instability after 2007. In particular, the
focus of the paper is to test of whether the increasing presence of financialization of
commodity trading in futures markets mentioned in the literature have made them
divorced from the physical markets. A multivariate GARCH model was applied to
compute optimal hedging ratios. Important evidence was found of an improvement,
after 2007, in the effectiveness of hedging with the European futures.
PY  - 2015
PY  - 2015
T1  - Hedging effectiveness of European wheat futures markets: An application of multivariate GARCH models
TI  - Hedging effectiveness of European wheat futures markets: An application of multivariate GARCH models
UR  - https://ageconsearch.umn.edu/record/212486/files/Revoredo-Giha-Hedging%20effectiveness%20of%20European%20wheat%20futures%20markets-363.pdf
Y1  - 2015
ER  -