Exploring optimal hedging strategy in Thai rice pledging scheme policy

Thanasin Tanompongphandh, Nattapong Puttanapong and Preesan Rakwatin

International Journal of Economic Policy in Emerging Economies, 2018, vol. 11, issue 3, 198-208

Abstract: From 2011-2014, the Thai government pledged to buy Thai paddy rice above the market price in order to subsidise Thai rice farmers and push the world rice price higher. However, the volatility of the rice price casts uncertainty over how much the Thai Government fiscal budget will be liable for. Following optimal hedging technique and mean-variance framework, this paper explores a hedging strategy for the Thai Government to protect against risk of price fluctuation. Based on in-sample and out-of-sample testing, result shows that the volatility of the returns decreases after optimally hedged portfolio are created. The results are robust against different estimation methods, namely, OLS, rolling OLS, and MGARCH model.

Keywords: optimal hedging; rice pledging; rice futures; paddy rice; rough rice futures; rice mortgage scheme. (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=93946 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijepee:v:11:y:2018:i:3:p:198-208

Access Statistics for this article

More articles in International Journal of Economic Policy in Emerging Economies from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().