文章基本信息

标题：Cotton Hedging: A Comparison across Developing and Developed Countries
本地全文：下载
作者：Qizhi Wang ; Benaissa Chidmi
期刊名称：Modern Economy
印刷版ISSN：2152-7245
电子版ISSN：2152-7261
出版年度：2011
卷号：2
期号：4
页码：654-666
DOI：10.4236/me.2011.24073
出版社：Scientific Research Publishing
摘要：This paper uses the results of ordinary least squares, bivariate vector autoregressive, and error correction models to estimate the hedge ratios for cotton production across different countries and to determine whether New York Cotton Exchange futures prices can serve as a hedging tool for cotton producers. Models comparison shows that the error correction model fits the data better. The results of the error correction model show that the spot prices and the NYCE futures prices are co-integrated in United States, Australia, and China, but not in Africa Franc Zone countries. In addition, for countries with higher market power, such as US and China, and countries without market distortions, such as Australia, the New York Cotton Exchange futures prices can serve as a hedging tool for cotton producers. In contrast, for less developed countries, such as Africa Franc Zone countries, and Pakistan, the NYCE futures prices cannot serve as hedging tool against the risks faced by cotton farmers.
关键词：Cotton; Hedge Ratio; Error Correction Model