Incorporating Basis Expectation into Hedging Effectiveness Measures

Alan D. Tumblin, Robert J. Hauser and Philip Garcia

No 278171, 1986 Annual Meeting, July 27-30, Reno, Nevada from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: It is suggested that, if the traditional portfolio approach to measuring hedging effectiveness is used, the underlying ex-ante basisexpectation model be specified explicitly. An empirical example comparing the proposed method to a traditional method for soybean hedges during 1966-83 is presented.

Keywords: Agricultural and Food Policy; Public Economics (search for similar items in EconPapers)
Pages: 17
Date: 1986-07
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea86:278171

DOI: 10.22004/ag.econ.278171

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