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Journal articles on the topic 'Commodity hedging'

Author: Grafiati

Published: 4 June 2021

Last updated: 4 February 2022

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1

Taušer, J., and R. Čajka. "Hedging techniques in commodity risk management." Agricultural Economics (Zemědělská ekonomika) 60, No. 4 (April 28, 2014): 174–82. http://dx.doi.org/10.17221/120/2013-agricecon.

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The article focuses on selected aspects of risk management in agricultural business with the aim to discuss and compare different hedging methods which are relevant for managing the commodity risks associated with agricultural production. The article provides a broader context for understanding the risks and possible responses to it and analyses four basic hedging strategies – commodity futures, forward contracts, options and option strategies. The substance, advantages and disadvantages of each hedging technique are pointed out and compared to each other with the conclusion that there is always some kind of trade-off between the advantages and disadvantages of the particular strategies. The farmers shall, therefore, consider both all aspects of the relevant strategies and their expectations, before they make the final decision which instruments to use.  

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2

Cashion, Daniel B. "Hedging Long-Term Commodity Risk." CFA Digest 33, no. 3 (August 2003): 41–42. http://dx.doi.org/10.2469/dig.v33.n3.1319.

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3

Borensztein, Eduardo, Damiano Sandri, and Olivier Jeanne. "Macro-Hedging for Commodity Exporters." IMF Working Papers 09, no. 229 (2009): 1. http://dx.doi.org/10.5089/9781451873764.001.

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4

KAUFFMAN, THOMAS D., and STEPHEN B. DOPPLER. "Hedging a Commodity Power Rate." Natural Resources Forum 10, no. 2 (May 1986): 173–79. http://dx.doi.org/10.1111/j.1477-8947.1986.tb00792.x.

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5

Veld-Merkoulova, Yulia V., and Frans A. de Roon. "Hedging long-term commodity risk." Journal of Futures Markets 23, no. 2 (December 19, 2002): 109–33. http://dx.doi.org/10.1002/fut.10060.

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6

Borensztein, Eduardo, Olivier Jeanne, and Damiano Sandri. "Macro-hedging for commodity exporters." Journal of Development Economics 101 (March 2013): 105–16. http://dx.doi.org/10.1016/j.jdeveco.2012.08.005.

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7

Conlon, Thomas, John Cotter, and Ramazan Gençay. "Commodity futures hedging, risk aversion and the hedging horizon." European Journal of Finance 22, no. 15 (April 15, 2015): 1534–60. http://dx.doi.org/10.1080/1351847x.2015.1031912.

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8

Gupta, Shashi, Himanshu Choudhary, and D. R. Agarwal. "Hedging Efficiency of Indian Commodity Futures." Paradigm 21, no. 1 (June 2017): 1–20. http://dx.doi.org/10.1177/0971890717700529.

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This article examines the hedge ratio and hedging effectiveness in agricultural (castor seed, guar seed) and non-agricultural (copper, nickel, gold, silver, natural gas and crude oil) commodities traded in National Commodity and Derivative Exchange (NCDEX) and Multi Commodity Exchange (MCX), respectively. Constant and dynamic hedge ratios are estimated by using ordinary least square (OLS), vector autoregression (VAR), vector error correction model (VECM) and vector autoregressive-multivariate generalized autoregressive conditional heteroskedasticity model (VAR-MGARCH). The results of constant as well as dynamic hedge ratios reveal that the Indian futures market provides higher hedging effectiveness in case of precious metal (65–75 per cent) compared to industrial metal and energy commodities (less than 50 per cent). Hedging effectiveness for castor seed and natural gas is even lower than 10 per cent. This study concluded that VECM and VAR-MGARCH both are providing higher hedging although VECM is providing the highest hedge ratio. It has been found that the next to near month futures provide better hedging effectiveness as compared to near month futures for crude oil and silver. It is recommended that the policy makers should pay attention towards the number of delivery centres, standard of quality of underlying assets and transaction costs in spot market.

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9

Frensidy, Budi, and Tasya Indah Mardhaniaty. "The Effect of Hedging with Financial Derivatives on Firm Value at Indonesia Stock Exchange." Economics and Finance in Indonesia 65, no. 1 (August 2, 2019): 20. http://dx.doi.org/10.47291/efi.v65i1.614.

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This study aims to analyze the effect of hedging for the risks of foreign currency, interest rate, and commodity price on firm value as measured by Tobin’s Q. The findings reveal that hedging with derivative instruments is insignificantly related to firm value but significantly varied in financial risks. Hedging for foreign currency risk has a significantly positive relation to firm value, while hedging for interest rate and commodity price risk has no relation. Furthermore, this study provides a novelty compared to previous studies in the utilization of the extent of hedging as the variable to measure the implementation of hedging.

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10

Thị Nhung, Nguyễn, Nguyen Nhu Ngan, Tran Thi Hong, and Nguyen Dinh Cuong. "Hedging with commodity futures: evidence from the coffee market in Vietnam." Investment Management and Financial Innovations 17, no. 4 (November 4, 2020): 61–75. http://dx.doi.org/10.21511/imfi.17(4).2020.06.

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In July 2018, the Vietnam Commodity Exchange (VNX) was transferred into the Mercantile Exchange of Vietnam (MXV) to hedge price risks through futures on international commodity exchanges. This research aimed to verify the efficiency of futures on ICE EU and ICE US under the perspective of hedging for Vietnamese coffee, determine optimal hedging ratios and the optimal number of each futures contract, and investigate the feasibility of introducing domestic commodity exchanges in Vietnam. Using the Vector Error Correction Model (VECM), the results show that (1) Robusta futures with expiration dates of January, March, May, and July on ICE EU are efficient hedging tools, but the adverse result is justified for Arabica futures on ICE US; (2) Robusta futures with the expiration date of January are the best in terms of risk management for Vietnamese coffee market; (3) optimal hedge ratio of Robusta futures of around 34% is much lower than ratios showed by previous researches; (4) in the short term, introducing coffee futures into the domestic commodity exchanges is still not feasible in the short term, but should be considered in the long term in Vietnam. This is the first study providing empirical evidence about the hedging role of futures contracts on ICE EU and ICE US, contributing to enrich the existing empirical evidence on the hedging role of futures for the agricultural sector.

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11

Brunetti, Celso, and David A. Reiffen. "Commodity Index Trading and Hedging Costs." Finance and Economics Discussion Series 2011, no. 57 (August 2011): 1–38. http://dx.doi.org/10.17016/feds.2011.57.

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12

Abid, Ilyes, Abderrazak Dhaoui, Stéphane Goutte, and Khaled Guesmi. "Hedging and diversification across commodity assets." Applied Economics 52, no. 23 (December 18, 2019): 2472–92. http://dx.doi.org/10.1080/00036846.2019.1693016.

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13

Brunetti, Celso, and David Reiffen. "Commodity index trading and hedging costs." Journal of Financial Markets 21 (November 2014): 153–80. http://dx.doi.org/10.1016/j.finmar.2014.08.001.

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14

Lahiani, Amine, and Khaled Guesmi. "Commodity Price Correlation And Time Varying Hedge Ratios." Journal of Applied Business Research (JABR) 30, no. 4 (June 30, 2014): 1053. http://dx.doi.org/10.19030/jabr.v30i4.8653.

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<p>This paper examines the price volatility and hedging behavior of commodity futures indices and stock market indices. We investigate the weekly hedging strategies generated by return-based and range-based asymmetric dynamic conditional correlation (DCC) processes. The hedging performances of short and long hedgers are estimated with a semi-variance, low partial moment and conditional value-at-risk. The empirical results show that range-based DCC model outperforms return-based DCC model for most cases.</p>

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15

Lu, Peili, Jiaqi Shen, Liheng Zhao, Haoyang Qin, Xunzhi Liu, and Zhongxing Ye. "Price risk management by using dynamic hedging based on advanced Black–Scholes model." International Journal of Financial Engineering 07, no. 01 (March 2020): 2050011. http://dx.doi.org/10.1142/s2424786320500115.

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Price Risk Management plays an important role in Commodity trading and corporate purchasing or Sales plan. Futures are used to hedge the price risk which is linear, while options are used for the nonlinear one. This paper proposes an evaluation method of dynamic hedging strategy for corporate hedging commodity price risk based on advanced Black–Scholes Model. By using the inverse replication method, we get the dynamic hedging strategy which uses futures to replicate options. Finally, we apply the dynamic hedging strategy for corporate purchases and sales to either lower purchase cost or maintain the sales price.

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16

Shashi Gupta, Himanshu Choudhary, and D. R. Aggarwal. "Efficiency of Indian Commodity Market: A Survey of Brokers’ Perception." Journal of Technology Management for Growing Economies 7, no. 1 (April 26, 2016): 55–71. http://dx.doi.org/10.15415/jtmge.2016.71003.

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The present study documents the finding of a survey of brokers’ perception pertaining to the recently introduced commodity derivatives market in India. The survey results show the brokers’ assessment about trading/marketing activities and their perception of the benefits and concerns about commodity derivatives. It also throw some light on the perception of brokers about the efficiency of Indian commodity derivatives in performing the functions of price discovery, hedging effectiveness and volatility dynamics. The survey results show that high net worth individual are contributing significantly in the trade volume of commodity derivatives. Interestingly, retail investors are also emerged as the significant contributor in total turnover of brokers. Survey results exhibit that price discovery and hedging effectiveness functions are well performed by all the commodity futures except the energy commodities futures. Energy commodities, being the most volatile commodities, are perceived as having less hedging effectiveness as compared to others. Brokers are assenting on the high to moderate impact of open interest, volume and time to maturity on the volatility of the commodity futures derivatives.

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17

Lien, Donald, and Yan Wang. "Hedging long-term commodity risk: A comment." Journal of Futures Markets 24, no. 11 (2004): 1093–99. http://dx.doi.org/10.1002/fut.20129.

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18

Ulusoy, Veysel, and Özgür Ünal Onbirler. "Marginal speculation and hedging in commodity markets." Finance Research Letters 23 (November 2017): 269–82. http://dx.doi.org/10.1016/j.frl.2017.07.020.

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19

Thompson, Stanley R., and Gary E. Bond. "Offshore Commodity Hedging under Floating Exchange Rates." American Journal of Agricultural Economics 69, no. 1 (February 1987): 46–55. http://dx.doi.org/10.2307/1241305.

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20

Tuthill, J. "Optimism and pessimism in commodity price hedging." European Review of Agriculture Economics 31, no. 3 (September 1, 2004): 289–307. http://dx.doi.org/10.1093/erae/31.3.289.

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21

Ekeland, Ivar, Delphine Lautier, and Bertrand Villeneuve. "Hedging pressure and speculation in commodity markets." Economic Theory 68, no. 1 (April 13, 2018): 83–123. http://dx.doi.org/10.1007/s00199-018-1115-y.

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22

Apsel, David, Jack Cogen, and Michael Rabin. "Hedging long term commodity swaps with futures." Global Finance Journal 1, no. 1 (September 1989): 77–93. http://dx.doi.org/10.1016/1044-0283(89)90007-0.

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23

Ning, Zi “Nancy”, and Alan L. Tucker. "Hedging import commodity prices for BRICS nations." Global Finance Journal 22, no. 2 (January 2011): 182–90. http://dx.doi.org/10.1016/j.gfj.2011.10.007.

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24

Gupta, Sumeet, and Vinay Kandpal. "HEDGING IN AGRICULTURAL COMMODITIES." Journal of Global Economy 14, no. 4 (November 8, 2018): 41–50. http://dx.doi.org/10.1956/jge.v14i4.496.

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The Indian Agriculture Sector is on the edge of a rebellion that will revolutionize the complete food chain by means of the total food production in India is expected to twofold in the following ten years. Outstanding export projections, competitive pricing of agricultural products that are internationally comparable has created trade prospects in the agro industry. Agricultural Output is expected to grow by 11% in 2018-2019 after recording a 8-9 % increase in the previous years. It will create Indian Agriculture Industry Gateway by which exporter and importer can fulfill their requirement and reap the benefits of agro related opportunities. MCX (Multi Commodity Exchange) and NCDEX (National Commodity Derivatives Exchange) has developed opportunities for trading in spot and forward trade. It will help to develop India as Agricultural Based Economy. Trading of agricultural commodities help the traders to take the advantage of Price Fluctuations but also faces Investment Risk and Price Risk. Movement in future prices create the possibility for short

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25

Secomandi, Nicola. "Quadratic Hedging of Commodity and Energy Cash Flows." Foundations and Trends® in Technology, Information and Operations Management 12, no. 2-3 (2019): 240–53. http://dx.doi.org/10.1561/0200000089.

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26

Turcic, Danko, Panos Kouvelis, and Ehsan Bolandifar. "Hedging Commodity Procurement in a Bilateral Supply Chain." Manufacturing & Service Operations Management 17, no. 2 (May 2015): 221–35. http://dx.doi.org/10.1287/msom.2014.0514.

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27

Bohmann, Marc J. M., David Michayluk, and Vinay Patel. "Price discovery in commodity derivatives: Speculation or hedging?" Journal of Futures Markets 39, no. 9 (June 27, 2019): 1107–21. http://dx.doi.org/10.1002/fut.22021.

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28

Benet, Bruce A. "Commodity futures cross hedging of foreign exchange exposure." Journal of Futures Markets 10, no. 3 (June 1990): 287–306. http://dx.doi.org/10.1002/fut.3990100307.

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29

Sarassoro, Gboroton F., and Raymond M. Leuthold. "Offshore Commodity Hedging Under Floating Exchange Rates: Comment." American Journal of Agricultural Economics 70, no. 3 (August 1988): 724–26. http://dx.doi.org/10.2307/1241511.

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30

Thompson, Stanley R., and Gary E. Bond. "Offshore Commodity Hedging under Floating Exchange Rates: Reply." American Journal of Agricultural Economics 70, no. 3 (August 1988): 727–28. http://dx.doi.org/10.2307/1241512.

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31

Wibowo, Buddi. "Hedging Ratio Measurement Methods and Hedging Effectiveness in Jakarta Futures Exchanges." Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi dan Pembangunan 18, no. 1 (July 31, 2017): 118. http://dx.doi.org/10.23917/jep.v18i1.3473.

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Estimation method of hedge ratio is a crucial step in hedging strategies in the commodity futures market. This study examines the effectiveness of hedging strategy against cash position in Indonesia’s cocoa beans and Robusta coffee spot market using three hedge ratio estimation methods: OLS, Vector Error Correction Model, and Threshold-ARCH. The results show the hedging effectiveness in the Jakarta Futures Exchange is considerably highly effective to reduce the impact of fluctuations of spot price. The effectiveness of hedging strategy using OLS as the simplest method is close to VECM method and TARCH. Implementation OLS hedge ratio resulted the highest hedging effectiveness and give a strong support for market players in executing a hedging strategy in Jakarta Futures Exchange due to OLS simplicity in estimation procedure

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32

Yu, Mei, Qian Gao, Zijian Liu, Yike Zhou, and Dan Ralescu. "A Study on the Optimal Portfolio Strategies Under Inflation." Journal of Systems Science and Information 3, no. 2 (April 25, 2015): 111–32. http://dx.doi.org/10.1515/jssi-2015-0111.

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AbstractThis paper tests the inflation hedging ability of four categories of important financial assets in China: Commodity futures, real estate, gold and industry stock and select the assets that have significant inflation hedging effect. Then the authors construct the mean-variance model under the inflation factor, using the selected assets to construct the inflation hedging portfolio, solving the model and obtain the optimal investment strategy with inflation protection function. The result shows that the portfolio constructed by the model have more stable real returns and its inflation hedging ability can be even better if the short selling restriction of stocks is eliminated.

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33

Chen, Fei, and Charles Sutcliffe. "Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures." European Journal of Finance 18, no. 6 (July 2012): 575–95. http://dx.doi.org/10.1080/1351847x.2011.620253.

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34

Biegler-König, Richard. "Hedging Strategies in Commodity Markets – Rolling Intrinsic and Delta Hedging for Virtual Power Plants." Applied Mathematical Finance 27, no. 6 (November 1, 2020): 550–82. http://dx.doi.org/10.1080/1350486x.2021.1898998.

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35

Mubarok, Faizul, and Risma Nadya Utami. "Panel Method in Hedging: Evidence from The Indonesian Agricultural Sector." Jurnal Dinamika Akuntansi 12, no. 2 (September 26, 2020): 165–77. http://dx.doi.org/10.15294/jda.v12i2.24676.

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Hedging is a derivative instrument in the form of actions used to minimize risks due to fluctuations in foreign currencies, interest rates, and commodity prices. This study aims to analyze the factors that influence hedging in agricultural sector companies using the panel data method in the form of quarterly from 7 companies from 2013 to 2019. The study results show growth opportunity, financial distress, debt, leverage, firm size, liquidity, profitability, and dividend payout ratio significantly influence the use of hedging. This study's results indicate that agricultural sector companies as a whole use hedging to protect against future risk exposures. Besides, it is necessary to know the factors that influence making decisions using hedging. This study recommends that companies increase export productivity balanced with appropriate hedging policies to improve company performance.

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36

Adami, Usman. "Analisa Aplikasi Hedging Sebagai Perlindungan Transaksi Ekspor Oleh Eksportir Di Sulawesi Selatan." JURNAL MANAJEMEN MOTIVASI 10, no. 1 (January 22, 2015): 290. http://dx.doi.org/10.29406/jmm.v10i1.12.

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This study aimed to examine the effect of exchange rate value of the forward rate hedging transactions carried out by the exporter. Transaction data used are five export commodities of 6 exporter in Southern Sulawesi with the number of transactions was 612 times. To calculate the multiple regression equation used method OLS (Ordinary Least Square). Results are transasksi value hedging is done by 6 to 5 export commodity exporters in South Sulawesi was very influenced significantly by Value Forward Spot Rate (X), with regard to indicators of external factors before deciding to make Hedging Export.

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37

Vercammen, James. "Hedging with Commodity Options When Price Distributions are Skewed." American Journal of Agricultural Economics 77, no. 4 (November 1995): 935–45. http://dx.doi.org/10.2307/1243816.

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38

Ratner, Mitchell, and Chih-Chieh Chiu. "Hedging Characteristics of Commodity Investment in the Emerging Markets." Global Economy and Finance Journal 8, no. 2 (September 2015): 1–13. http://dx.doi.org/10.21102/gefj.2015.09.82.01.

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39

Kafou, Ali, and Ahmed Chakir. "Commodity risk hedging through risk sharing: reengineering Islamic forwards." Journal of Risk 17, no. 6 (August 2015): 101–23. http://dx.doi.org/10.21314/jor.2015.307.

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40

Gemmill, Gordon. "Optimal hedging on futures markets for commodity-exporting nations." European Economic Review 27, no. 2 (March 1985): 243–61. http://dx.doi.org/10.1016/s0014-2921(85)80007-6.

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41

Sephton, Peter S. "Hedging wheat and canola at the Winnipeg Commodity Exchange." Applied Financial Economics 3, no. 1 (March 1993): 67–72. http://dx.doi.org/10.1080/758527819.

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42

Yang, Jian, and Titus O. Awokuse. "Asset storability and hedging effectiveness in commodity futures markets." Applied Economics Letters 10, no. 8 (June 2003): 487–91. http://dx.doi.org/10.1080/1350485032000095366.

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43

Sephton, Peter S. "GARCH and MARKOV Hedging at the Winnipeg Commodity Exchange." Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie 46, no. 2 (July 1998): 117–26. http://dx.doi.org/10.1111/j.1744-7976.1998.tb00358.x.

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44

Zhou, Xue, and Ivan D. Damnjanovic. "Optimal Hedging of Commodity Price Risks in Highway Contracts." Transportation Research Record: Journal of the Transportation Research Board 2228, no. 1 (January 2011): 19–25. http://dx.doi.org/10.3141/2228-03.

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45

Boroumand, Raphaël H., Stéphane Goutte, and Ehud I. Ronn. "Characterizing the hedging policies of commodity price‐sensitive corporations." Journal of Futures Markets 40, no. 8 (November 14, 2019): 1264–81. http://dx.doi.org/10.1002/fut.22072.

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46

Bond, Gary E., and Stanley R. Thompson. "Optimal commodity hedging within the capital asset pricing model." Journal of Futures Markets 6, no. 3 (1986): 421–31. http://dx.doi.org/10.1002/fut.3990060307.

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47

Benninga, Simon, Rafael Eldor, and Itzhak Zilcha. "Optimal international hedging in commodity and currency forward markets." Journal of International Money and Finance 4, no. 4 (December 1985): 537–52. http://dx.doi.org/10.1016/0261-5606(85)90028-2.

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48

Chng, Michael T. "Economic linkages across commodity futures: Hedging and trading implications." Journal of Banking & Finance 33, no. 5 (May 2009): 958–70. http://dx.doi.org/10.1016/j.jbankfin.2008.10.006.

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49

Acharya, Viral V., Lars A. Lochstoer, and Tarun Ramadorai. "Limits to arbitrage and hedging: Evidence from commodity markets." Journal of Financial Economics 109, no. 2 (August 2013): 441–65. http://dx.doi.org/10.1016/j.jfineco.2013.03.003.

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50

Nguyen, Duc Khuong, Ahmet Sensoy, Ricardo M. Sousa, and Gazi Salah Uddin. "U.S. equity and commodity futures markets: Hedging or financialization?" Energy Economics 86 (February 2020): 104660. http://dx.doi.org/10.1016/j.eneco.2019.104660.

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