Basis Risk: Measurement and Analysis of Basis Fluctuations for Selected Livestock Markets

Philip Garcia, Raymond M. Leuthold and Mohamed E. Sarhan

American Journal of Agricultural Economics, 1984, vol. 66, issue 4, 499-504

Abstract: Unanticipated basis changes can reduce the ability of futures markets to transfer risk and can affect income levels of producers and market participants. This study examines short-term basis risk, defined as the variance of the random component of the basis over time, for several Midwest livestock markets. Basis risk is related to several factors influencing the long-term pattern in the time series and unexpected changes in price. Little evidence is found that basis risk changed as maturity approached or that risk varied across markets except for the Interior Iowa hog market.

Date: 1984
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Persistent link: https://EconPapers.repec.org/RePEc:oup:ajagec:v:66:y:1984:i:4:p:499-504.

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