Cash Ethanol Cross-Hedging Opportunities

Jason R.V. Franken and Joe Parcell ()

Journal of Agricultural and Applied Economics, 2003, vol. 35, issue 3, 8

Abstract: Increased use of alternative fuels and low commodity prices have contributed to the recent expansion of the U.S. ethanol industry. As with any competitive industry, some level of output price risk exists in the form of volatility; yet, no actively traded ethanol futures market exists to mitigate output price risk. This study reports estimated minimum variance cross-hedge ratios between Detroit spot cash ethanol and the New York Mercantile Exchange unleaded gasoline futures for 1-, 4-, 8-, 12-, 16-, 20-, 24-, and 28-week hedge horizons. The research suggests that a one-to-one cross-hedge ratio is not appropriate for some horizons.

Date: 2003
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Citations: View citations in EconPapers (19)

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Journal Article: Cash Ethanol Cross-Hedging Opportunities (2003)
Working Paper: CASH ETHANOL CROSS-HEDGING OPPORTUNITIES (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:joaaec:43152

DOI: 10.22004/ag.econ.43152

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