A Bayesian Implementation of the Standard Optimal Hedging Model: Parameter Estimation Risk and Subjective Views

Wei Shi and Scott Irwin

No 19155, 2005 Annual meeting, July 24-27, Providence, RI from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: We develop a Bayesian implementation of the standard optimal hedging model to analyze the impact of hedgers' subjective views on their hedging behavior. The results show the subjective views have a substantial impact on hedgers' optimal positions, explaining the large cross-sectional and time series variation of hedging positions in practice.

Keywords: Marketing (search for similar items in EconPapers)
Pages: 24
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea05:19155

DOI: 10.22004/ag.econ.19155

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