2018 - Franco Angeli
Article
Digital Version
Download | Copy/paste | Printing
Transmission of futures prices to the Italian spot market : are there opportunities to hedge corn price risk?
193-204 p.
- Agricultural commodity prices have been recently characterized by a high degree of volatility, which results in a higher exposure to price risk for farmers. Among different commodities, corn represents the main crop produced in Italy. The study aims at estimating price transmission of three futures markets - specifically French (matif), US (cbot) and Hungarian (bse) - to Italian (Bologna) spot prices by the estimation of restricted Error Correction Models (ecm). This allows discussing the opportunity for Italian farmers to hedge price risk through the adoption of such risk management tools. Price transmissions were estimated based on a ten-year (2007-2016) and five-year (2012-2016) time series of weekly prices. For all the considered markets, the five-year model better explained Bologna spot prices and was thus considered for the subsequent evaluations. To assess a hypothetical unevenness in price transmission during the crop year, ecm has been estimated for a pre-harvest and post-harvest period.
- The results highlight that the level of price transmission is higher for post-harvest period compared to the pre-harvest one. This is true for all the considered futures markets with the exception of the cbot, where pre-harvest model performed better than post-harvest one. Estimating a multi-market model, where Bologna spot price variation depend on all considered futures market, results suggest that Italian corn prices depend most on the matif and bse in the post-harvest period, while in the pre-harvest period, the cbot plays the main role in price transmission. [Publisher's text].
Is part of
Economia agro-alimentare : XX, 2, 2018-
Information
ISSN: 1972-4802
KEYWORDS
- Price transmission, futures market, corn market, Error Correction Model
-
In this issue
- Editorial
- Innovations in table grape supply chain : economic and environmental sustainability and local policy instruments
- A Structural-Functional Theory approach to vertical coordination in agri-food supply chains : insights from the Gran Suino Italiano Inter-branch Organisation
- Lessons of Innovation in the Agrifood Sector : Drivers of Innovativeness Performances
- Transmission of futures prices to the Italian spot market : are there opportunities to hedge corn price risk?
- Assessing the efficiency of aquaculture cooperatives : A country case study
- The role of information in consumers' behavior : a survey on the counterfeit food products
- The effects of expo Milano 2015 on consumer food choices
- Moldavian wine industry, between legal reforms and economic challenges
- Anatomy for economy : starting from the rumen keratinization degree to enhance the farm income
- Norme per autori e collaboratori ; Dichiarazione sull'etica e sulle pratiche scorrette nella pubblicazione dei lavori scientifici