Inventory and transformation hedging effectiveness in corn crushing

Research output: Contribution to journalArticle

11 Citations (Scopus)

Abstract

Recently developed ethanol futures contracts now allow direct-hedging by ethanol producers. This study examines the effectiveness of one- through eight-week hedges between 2005 and 2008. Our findings show (a) ethanol inventory hedging effectiveness is significant for two-week and longer hedges, and increases with the hedging horizon; (b) ethanol futures are significantly superior to gasoline futures for hedging ethanol. price risk for two-week and longer hedges; (c) the corn crushing hedge, utilizing corn and ethanol futures, is effective and provides price risk management capabilities comparable to those provided by the soybean crush hedge.

Original languageEnglish (US)
Pages (from-to)154-171
Number of pages18
JournalJournal of Agricultural and Resource Economics
Volume34
Issue number1
StatePublished - Apr 2009

Fingerprint

crushing
ethanol
corn
futures trading
gasoline
risk management
Corn
Ethanol
Hedging effectiveness
Hedge
soybeans
Hedging

Keywords

  • Corn crushing
  • Cross-hedging
  • Ethanol futures
  • Hedging
  • Processing hedge

ASJC Scopus subject areas

  • Economics and Econometrics
  • Agronomy and Crop Science
  • Animal Science and Zoology

Cite this

Inventory and transformation hedging effectiveness in corn crushing. / Dahlgran, Roger A.

In: Journal of Agricultural and Resource Economics, Vol. 34, No. 1, 04.2009, p. 154-171.

Research output: Contribution to journalArticle

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