Transmission of futures prices to the Italian spot market: Are there opportunities to hedge corn price risk?

Trestini, Samuele; Penone, Carlotta

doi:10.3280/ecag2018-002005

Economia Agro-Alimentare

2018

DOI: 10.3280/ecag2018-002005

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Transmission of futures prices to the Italian spot market: Are there opportunities to hedge corn price risk?

Samuele Trestini¹,

Carlotta Penone²

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Cited by 2 publications

References 12 publications

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Asymmetric Price Transmission in the Cocoa Supply Chain in Indonesia

Ridha¹,

Masbar²,

Aliasuddin³

et al. 2022

Economia Agro-Alimentare

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This study investigates the asymmetric price transmission (APT) of global cocoa beans and cocoa pasta prices to farm prices. The cocoa pasta variable is a proxy for Indonesian processed cocoa industry products. We use monthly time series data from January 2007 to December 2020. The NARDL model was used to estimate the APT response behavior. The dummy variable (export cocoa bean tax) explains fluctuations in farm prices before and after the policy implementation. The results showed asymmetric cointegration between the global cocoa market and cocoa pasta prices moving towards farm cocoa prices in Indonesia. APT occurs in the short and long term with different significant levels for each variable. The increase (decrease) in the global market and cocoa pasta prices were transmitted asymmetrically in the short and long terms, except for the variable (PA-pos), which is not significant in the long term. We observe strong evidence of negative asymmetric price transmission. Negative price shocks (decreases) in global markets and cocoa pasta are more rapidly transmitted to farmer prices than positive price shocks. Adjustment prices occur in magnitude, speed, and sign. The high coefficient of negative asymmetric price transmission indicates the uncompetitive of Indonesia's supply-demand cocoa chain. At the same time, the cocoa bean export tax harms farm prices. The export tax policy has reduced farm prices by approximately 2.3%.

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Asymmetric Price Transmission in the Cocoa Supply Chain in Indonesia

Ridha¹,

Masbar²,

Aliasuddin³

et al. 2022

Economia Agro-Alimentare

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Hedging Effectiveness of Commodity Futures Contracts to Minimize Price Risk: Empirical Evidence from the Italian Field Crop Sector

Penone

Giampietri

Trestini

2021

Risks

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Over the last years, farmers have been increasingly exposed to income risk due to the volatility of the commodities prices. Among others, hedging in futures markets (i.e., financial markets) represents an available strategy for producers to cope with income risks at farm level. To better understand the advantages of such promising tools, this paper aims at analyzing the hedging effectiveness for soybean, corn and milling wheat producers in Italy. Following the literature, three different methodologies (i.e., naïve, OLS, GARCH) are applied for the estimation of the hedge portfolio, then compared to an unhedged portfolio for assessing the income risk reduction. Findings confirm the hedging effectiveness of futures contracts for all the considered commodities, showing also that this effect increases with longer hedge horizons, and also showing better performances for the European exchange market (i.e., Euronext), compared to the North American counterpart.

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Transmission of futures prices to the Italian spot market: Are there opportunities to hedge corn price risk?

Cited by 2 publications

References 12 publications

Asymmetric Price Transmission in the Cocoa Supply Chain in Indonesia

Asymmetric Price Transmission in the Cocoa Supply Chain in Indonesia

Hedging Effectiveness of Commodity Futures Contracts to Minimize Price Risk: Empirical Evidence from the Italian Field Crop Sector

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