돈육선물 헤지, 어떻게 할 것인가?

• 영문명: (How to Hedge Using Lean Hog Futures? - A Case of Hog Producers -)
• 발행기관: 한국농식품정책학회
• 저자명: 양성범(Yang, Sung-Bum) 양승룡(Yang, Seung-Ryong)
• 간행물 정보: 『농업경영.정책연구』농업경영·정책연구 38권 4호, 831~847쪽, 전체 17쪽
• 주제분류: 농수해양 > 식품과학
• 파일형태: PDF
• 발행일자: 2011.12.31

영문 초록

The objective of this study is to determine the hedge effectiveness from the hedge by the hog producers. The minimum variance hedge ratios are obtained from the OLS regression of spot price on the lean hog futures price. The hedge effectiveness are estimated before and after specific events: H1N1 and foot-and-mouth disease. The results of this study show that the hedging is effective when there exists high correlations between spot and futures prices, when is a long term hedging, and when the spot price level is one standard deviation higher than the average price.

목차

Ⅰ. 서 론

Ⅱ. 선행 연구

Ⅲ. 자료 및 연구 방법

Ⅳ. 분석 결과

Ⅴ. 요약 및 결론

키워드

Lean Hog Futures Market Hedge Ratio Hedge Effectiveness H1N1 Foot-And-Mouth Disease