Hedging effectiveness of fertilizer swaps

Maples, William E.; Brorsen, B. Wade; Etienne, Xiaoli L.

doi:10.1080/00036846.2019.1624916

Cited by 5 publications

(2 citation statements)

References 27 publications

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“…According to (Coakley et al 2008), the optimal hedge ratio (OHR), also known as the minimum-variance hedge ratio, can be estimated using several well-established methodologies 2 . The prolonged debate on which approach generates the best hedging performance yields mixed evidence (e.g., Moosa 2003;Wen et al 2017;Jitmaneeroj 2018;Maples et al 2019;Xu and Lien 2020). This lack of a consensus is partly attributable to the workings of long memory.…”

Section: Related Literaturementioning

confidence: 99%

Modelling Australian Dollar Volatility at Multiple Horizons with High-Frequency Data

2020

Risks

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Long-range dependency of the volatility of exchange-rate time series plays a crucial role in the evaluation of exchange-rate risks, in particular for the commodity currencies. The Australian dollar is currently holding the fifth rank in the global top 10 most frequently traded currencies. The popularity of the Aussie dollar among currency traders belongs to the so-called three G’s—Geology, Geography and Government policy. The Australian economy is largely driven by commodities. The strength of the Australian dollar is counter-cyclical relative to other currencies and ties proximately to the geographical, commercial linkage with Asia and the commodity cycle. As such, we consider that the Australian dollar presents strong characteristics of the commodity currency. In this study, we provide an examination of the Australian dollar–US dollar rates. For the period from 18:05, 7th August 2019 to 9:25, 16th September 2019 with a total of 8481 observations, a wavelet-based approach that allows for modelling long-memory characteristics of this currency pair at different trading horizons is used in our analysis. Findings from our analysis indicate that long-range dependence in volatility is observed and it is persistent across horizons. However, this long-range dependence in volatility is most prominent at the horizon longer than daily. Policy implications have emerged based on the findings of this paper in relation to the important determinant of volatility dynamics, which can be incorporated in optimal trading strategies and policy implications.

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Section: Related Literaturementioning

confidence: 99%

Modelling Australian Dollar Volatility at Multiple Horizons with High-Frequency Data

2020

Risks

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“…The analysis involves ratios and efficiencies of changing urea with ammonium phosphate. The fertiliser indexes reflect the US spot prices over https://doi.org/10.17221/140/2023-AGRICECON a short period (Maples et al 2019). Phosphate resources are heading to developed countries, according to the geographical position of international businesses.…”

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confidence: 99%

Geopolitical deadlock and phosphate shortfall behind the price hike? Evidence from Moroccan commodity markets

Vochozka,

Janek,

Širáňová

2023

Agric. Econ. - Czech

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Phosphate fertilisers rank among limited conventional production aids, requiring eco-unfriendly mining methods. On the other hand, wheat is an indispensable agricultural commodity essential in the food industry. For this reason, it is appropriate to monitor the potential bivariate relationship between these commodities and to follow their future development closely. The article aims to identify a correlation (Kendall's tau) and causal (Granger causality test) between the price of Moroccan phosphate and wheat, applying vector autoregression (VAR). The results show a medium-to-strong correlation between phosphate and wheat, while causal analysis suggests a reciprocal relationship. The final prediction indicates the price stability of Moroccan phosphate and a fall in wheat prices, showing steady trends of the Moroccan phosphate and wheat market affected by the alarming situation in Ukraine. The article's drawbacks are a narrow market specialisation, which ignores other agricultural commodities. Our findings contribute to national officeholders and professional public, private and non-profit agrarian organisations. Investors may benefit from exploring turbulent exogenous variables like a critical geopolitical deadlock in Ukraine. The main contribution highlights the fact that the conventional fertiliser and wheat market situation appears to be stable and free from elements of uncertainty.

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Uncertainty of M&As under asymmetric estimation

Kanungo

2021

Journal of Business Research

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Hedging effectiveness of fertilizer swaps

Cited by 5 publications

References 27 publications

Modelling Australian Dollar Volatility at Multiple Horizons with High-Frequency Data

Modelling Australian Dollar Volatility at Multiple Horizons with High-Frequency Data

Geopolitical deadlock and phosphate shortfall behind the price hike? Evidence from Moroccan commodity markets

Uncertainty of M&As under asymmetric estimation

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