Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258295 
Year of Publication: 
2021
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 9 [Issue:] 12 [Article No.:] 213 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-14
Publisher: 
MDPI, Basel
Abstract: 
Over the last years, farmers have been increasingly exposed to income risk due to the volatility of the commodities prices. Among others, hedging in futures markets (i.e., financial markets) represents an available strategy for producers to cope with income risks at farm level. To better understand the advantages of such promising tools, this paper aims at analyzing the hedging effectiveness for soybean, corn and milling wheat producers in Italy. Following the literature, three different methodologies (i.e., näive, OLS, GARCH) are applied for the estimation of the hedge portfolio, then compared to an unhedged portfolio for assessing the income risk reduction. Findings confirm the hedging effectiveness of futures contracts for all the considered commodities, showing also that this effect increases with longer hedge horizons, and also showing better performances for the European exchange market (i.e., Euronext), compared to the North American counterpart.
Subjects: 
agricultural commodities
futures contracts
hedging effectiveness
hedging ratio
time horizon
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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