On the pitfalls of multi-year rollover hedges: The case of hedge-to-arrive contracts

American Journal of Agricultural Economics

Volumn 83, Issue 1, 2001, Pages 107-119

  Lence, Sergio H ^a   Hayenga, Marvin L ^a  

^a IOWA STATE UNIVERSITY   (United States)

Author keywords

Contract; Grain market; Hedge; Hedge to arrive; Risk management

Indexed keywords

AGRICULTURAL ECONOMICS; CONTRACTION; GRAIN CROP; MARKET CONDITIONS;

ZEA MAYS;

EID: 0035055124     PISSN: 00029092     EISSN: None     Source Type: Journal    
DOI: 10.1111/0002-9092.00140     Document Type: Article

References (6)

1. Blue, E.N., M.L. Hayenga, S.H. Lence, and E.D. Baldwin. "Futures Spread Risk in Soybean Multi-Year Hedge-to-Arrive Contracts." Agribus. Int. J. 14(November/December 1998):467-74.
2. Chicago Board of Trade. July/December Corn Spread 1982-1992. Chicago: Chicago Board of Trade, 1994.
3. Commodity Futures Trading Commission. News Release 4090-97. Washington DC: Commodity Futures Trading Commission, December 22, 1997.
4. Culp, C., and M. Miller. "Hedging a Flow of Commodity Deliveries with Futures: Lessons from Metallgesellschaft." Derivatives Quart. 1(Fall 1994):7-15.
5. Edwards, F.R., and M.S. Canter. "The Collapse of Metallgesellschaft: Unhedgeable Risks, Poor Hedging Strategy, or Just Bad Luck?" J. Futures Mkts. 15(May 1995):211-64.
6. Engle, R.F., D.F. Hendry, and J.-F. Richard. "Exogeneity." Econometrica 51(March 1983):277-304.