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    Cash Ethanol Cross-Hedging Opportunities

    Franken, Jason R. V.
    Parcell, Joseph L.
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    [PDF] CashEthanolCrossHedgingOpportunities.pdf (196.2Kb)
    Date
    2002
    Format
    Working Paper
    Metadata
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    Abstract
    Increased use of alternative fuels and low commodity prices have contributed to the recent expansion of the US ethanol industry. As with any competitive industry, there exists some level of output price risk in the form of volatility. Yet, no actively traded ethanol futures market exists to mitigate output price risk. This study reports estimated minimum variance cross-hedge ratios between Detroit spot cash ethanol and the New York Mercantile Exchange (NYMEX) unleaded gasoline futures for 1-, 4-, 8-, 12-, 16-, 20-, 24-, and 28-week hedge horizons. The research suggests that a one-to-one cross-hedge ratio is not appropriate for some horizons.
    URI
    http://hdl.handle.net/10355/8979
    Part of
    Department of Agricultural Economics working paper ; no. AEWP 2002-09
    Citation
    AEWP 2002-9 . Jason R. V. Franken and Joe L. Parcell, "Cash Ethanol Cross-Hedging Opportunities," Department of Agricultural Economics Working Paper No. AEWP 2002-9, April 2002.
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    • Agricultural Economics publications (MU)

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