Organic Wheat Prices and Premium Uncertainty: Can Cross Hedging and Forecasting Play a Role?
We compare the volatility of organic wheat prices to that of conventional wheat prices using historical measures. To reduce uncertainty, we examine the possibility of cross hedging using conventional wheat futures and the ability of futures to forecast the organic premium. Results provide evidence t...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Western Agricultural Economics Association
2019-09-01
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| Series: | Journal of Agricultural and Resource Economics |
| Subjects: | |
| Online Access: | https://ageconsearch.umn.edu/record/292331 |
| _version_ | 1819060214209445888 |
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| author | Tatiana Drugova Veronica F. Pozo Kynda R. Curtis T. Randall Fortenbery |
| author_facet | Tatiana Drugova Veronica F. Pozo Kynda R. Curtis T. Randall Fortenbery |
| author_sort | Tatiana Drugova |
| collection | DOAJ |
| description | We compare the volatility of organic wheat prices to that of conventional wheat prices using historical measures. To reduce uncertainty, we examine the possibility of cross hedging using conventional wheat futures and the ability of futures to forecast the organic premium. Results provide evidence that conventional futures can be used to cross hedge organic wheat price risk, but results depend on the method used to impute the missing values. We also find a long-run equilibrium relationship between organic wheat prices and conventional wheat futures prices. Finally, futures prices contain some information useful in predicting organic prices in the short run. |
| first_indexed | 2024-12-21T14:23:26Z |
| format | Article |
| id | doaj.art-bd2769151ce54a98919c1b698b4775a6 |
| institution | Directory Open Access Journal |
| issn | 1068-5502 2327-8285 |
| language | English |
| last_indexed | 2024-12-21T14:23:26Z |
| publishDate | 2019-09-01 |
| publisher | Western Agricultural Economics Association |
| record_format | Article |
| series | Journal of Agricultural and Resource Economics |
| spelling | doaj.art-bd2769151ce54a98919c1b698b4775a62022-12-21T19:00:43ZengWestern Agricultural Economics AssociationJournal of Agricultural and Resource Economics1068-55022327-82852019-09-0144355157010.22004/ag.econ.292331292331Organic Wheat Prices and Premium Uncertainty: Can Cross Hedging and Forecasting Play a Role?Tatiana DrugovaVeronica F. PozoKynda R. CurtisT. Randall FortenberyWe compare the volatility of organic wheat prices to that of conventional wheat prices using historical measures. To reduce uncertainty, we examine the possibility of cross hedging using conventional wheat futures and the ability of futures to forecast the organic premium. Results provide evidence that conventional futures can be used to cross hedge organic wheat price risk, but results depend on the method used to impute the missing values. We also find a long-run equilibrium relationship between organic wheat prices and conventional wheat futures prices. Finally, futures prices contain some information useful in predicting organic prices in the short run.https://ageconsearch.umn.edu/record/292331cointegrationoptimal hedge ratioprice volatilitywheat markets |
| spellingShingle | Tatiana Drugova Veronica F. Pozo Kynda R. Curtis T. Randall Fortenbery Organic Wheat Prices and Premium Uncertainty: Can Cross Hedging and Forecasting Play a Role? Journal of Agricultural and Resource Economics cointegration optimal hedge ratio price volatility wheat markets |
| title | Organic Wheat Prices and Premium Uncertainty: Can Cross Hedging and Forecasting Play a Role? |
| title_full | Organic Wheat Prices and Premium Uncertainty: Can Cross Hedging and Forecasting Play a Role? |
| title_fullStr | Organic Wheat Prices and Premium Uncertainty: Can Cross Hedging and Forecasting Play a Role? |
| title_full_unstemmed | Organic Wheat Prices and Premium Uncertainty: Can Cross Hedging and Forecasting Play a Role? |
| title_short | Organic Wheat Prices and Premium Uncertainty: Can Cross Hedging and Forecasting Play a Role? |
| title_sort | organic wheat prices and premium uncertainty can cross hedging and forecasting play a role |
| topic | cointegration optimal hedge ratio price volatility wheat markets |
| url | https://ageconsearch.umn.edu/record/292331 |
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