Record Details

Managing Romanian Wheat Price Volatility Using Euronext Futures

International Journal of Economic Practices and Theories

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Field Value
 
Title Managing Romanian Wheat Price Volatility Using Euronext Futures
 
Creator Dinica (Balea), Erica Cristina
Dinica, Mihai Cristian
 
Subject Finance and accounting;
hedging, hedging effectiveness, optimal hedge ratio, risk management
G15, G32
 
Description The agricultural market is one of the most important markets of an economy as it affects not just the companies acting as buyers or sellers, but the entire population. Being influenced by several factors, the agricultural prices are characterized by a high volatility, the need for hedging arising. The paper analyzes the effectiveness of hedging Romanian wheat through futures contracts traded on Euronext Paris exchange. The optimal hedge ratio is estimated through several methods: the OLS regression and the error-correction model provide static hedge ratios, while the rolling windows OLS and the GARCH model provide hedge ratios that vary through time. A comparison based on the hedging effectiveness is then realised, the results showing that the time varying hedge ratios perform better than their static counterparts.
 
Publisher International Journal of Economic Practices and Theories
 
Contributor European Social Fund
 
Date 2015-01-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.ijept.org/index.php/ijept%20/article/view/Managing_Romanian_Wheat_Price_Volatility_Using_Euronext_Futures
 
Source International Journal of Economic Practices and Theories; Vol 5, No 1 (2015); 30-36
2247 – 7225
 
Language eng
 
Relation info:eu-repo/grantAgreement/EC/FP7/134197
http://www.ijept.org/index.php/ijept%20/article/view/Managing_Romanian_Wheat_Price_Volatility_Using_Euronext_Futures/pdf_83
 
Rights info:eu-repo/semantics/openAccess