A Producer-Level Cross-Hedge for Rough Rice Using Wheat Futures

Zacharias, Thomas P.; Lange, Mark D.; Gleason, W.J.; Traylor, Harlon D.

doi:10.1017/s0081305200025346

Cited by 5 publications

(4 citation statements)

References 8 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…7 Table A1 summarizes the assumptions for assigning cross-hedge and support market futures contracts. The cross-hedge assumptions largely follow those made in the existing literature (for example, see Zacharias et al 1987, Graff et al 1997, Brinker et al 2009. For all futures contracts, we also obtain weekly trade volumes and commitment of trader information, which indicate the number of commercial, non-commercial, and non-reportable types of traders.…”

Section: Data Description and Determination Of Cash Market Activenessmentioning

confidence: 97%

Revisiting the Determinants of Futures Contracts: The Curious Case of Distillers' Dried Grains

Bekkerman¹,

Tejeda²

2013

SSRN Journal

View full text Add to dashboard Cite

Revisiting the Determinants of Futures Contracts: The Curious Case of Distillers' Dried Grains A futures market for distillers' dried grains (DDGs) was introduced on the Chicago Mercantile Exchange in early 2010, but became inactive only four months after its inception. While many new futures contracts do not develop into high-volume traders, significant interest from DDG cash market participants seemed to indicate that this contract could be successful. This study determines whether factors found in the literature to affect the success of futures contracts may have predicted the ineffectiveness of the DDG contract. We also test the impacts of market participants and the activeness of supporting futures markets, and use the empirical to determine whether the lack of activity in the ethanol futures market may have contributed to the ineffectiveness of the DDG contract. Estimation results indicate that while the existing literature would have predicted a high likelihood of success for a DDG futures contract, accounting for the inactiveness of the ethanol futures market led to the opposite conclusion.

show abstract

Section: Data Description and Determination Of Cash Market Activenessmentioning

confidence: 97%

Revisiting the Determinants of Futures Contracts: The Curious Case of Distillers' Dried Grains

Bekkerman¹,

Tejeda²

2013

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…We used only futures contracts traded on a North American futures exchange: the Chicago Mercantile Exchange (CME), CBOT, Minneapolis Grain Exchange (MGEX), Kansas City Board of Trade (KCBT), and the Intercontinental Exchange (ICE) . Table B1 summarizes the cross‐hedge and support‐market futures contracts, which are assumed following those described in the existing literature (Brinker et al., ; Graff et al., ; Zacharias et al., ) . For all futures contracts, we also obtain weekly trade volumes (normalized to the same units as those used for the associated cash markets) and commitment of trader information, which indicate the number of commercial and noncommercial traders.…”

Section: Data Descriptionmentioning

confidence: 99%

Revisiting the determinants of futures contracts success: the role of market participants

Bekkerman

Tejeda

2016

Agricultural Economics

View full text Add to dashboard Cite

The Chicago Mercantile Exchange introduced a futures contract for distillers' dried grains (DDGs) in early 2010, but the market became inactive only four months after its inception. While many new futures contracts do not develop into high-volume traders, interest from DDG cash market participants indicated that this contract could be successful. Prompted by the unexpected lack of trading activity in this new futures market, we empirically revisit the question of what factors contribute to a futures contract's success and extend the literature by investigating the roles of market participants and the significance of supporting futures markets. Estimation results indicate that the market participant type-hedger or speculator-affects futures contract trade volume. More importantly, we find that the viability of new futures contracts for commodities that are jointly produced with other commodities is impacted by hedgers' trade volume of the related futures contract. These results provide important additions into the portfolio of indicators used by commodity exchanges to more cost-effectively evaluate new futures contract products.JEL classifications: G13, Q13, Q14

show abstract

“…In addition, in the case of rice, Zacharias et al (1987) examined the cross-hedge between spot rough rice prices using wheat futures contracts in the U.S. Results showed that there was potential effectiveness for the cross-hedge as a marketing alternative at farm-level.…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of the Economic Potential for a Mercosur Rice Futures Market

Souza¹,

Filho²,

Zancan³

et al. 2015

SCG

View full text Add to dashboard Cite

World rice production reached 488.4 thousand tons, in 2012. Asian countries are the world’s largest rice producers, followed by Latinamerica, particularly Brazil, where rice is a basic food item. In spite of the clear economic benefits bestowed by commodity futures markets, neither Asia nor Mercosur have implemented a regional rice futures market. In sum, we propose to investigate the feasibility of a Brazilian rice futures contract to serve the Mercosur region by estimating Mercosur rice price dynamics and analyze basis risk and hedging effectiveness for rice market agents in the region, in a simulation framework using a hypothetical regional contract price. Sample data and period was non-probabilistic, for accessibility and convenience. Mercosur rice price dynamics expressed Argentina and Uruguay rice prices moving in synchrony. Brazil rice prices were on lower levels. Also, all three pairs of rice price series are cointegrated, with one cointegrating equation. Again, results can be largely attributed to the different price data used, in Brazil was rough rice, while in Uruguay and Argentina milled white rice with 5%. Despite that, there are preliminary evidences that a Mercosur rice futures market could be feasible.

show abstract

A Producer-Level Cross-Hedge for Rough Rice Using Wheat Futures

Cited by 5 publications

References 8 publications

Revisiting the Determinants of Futures Contracts: The Curious Case of Distillers' Dried Grains

Revisiting the Determinants of Futures Contracts: The Curious Case of Distillers' Dried Grains

Revisiting the determinants of futures contracts success: the role of market participants

Analysis of the Economic Potential for a Mercosur Rice Futures Market

Contact Info

Product

Resources

About