농업경제연구

Korean Agricultural Economics Association

제목 수입 옥수수의 베이시스 예측 및 선택적 매입헤지의 성과 분석
저자 김민수, 윤병삼
발행정보 62권 3호 (2021년 9월) 페이지 17~36
초록 The primary objective of this study is to forecast basis for imported corn and evaluate the
hedging performance of a selective long hedge strategy. Six models are used to forecast cost and
freight (C&F) basis for imported corn: a moving average model (3 and 5 years respectively), a
moving average model with current basis information (3 and 5 years respectively), an ordinary
least squares (OLS) regression model, and an autoregressive-moving average (ARMA) time series
model. Six forecast horizons from 1 to 6 months are considered. The forecasting accuracy of 6
competing basis forecasts is determined in terms of mean absolute error (MAE) and root mean
squared error (RMSE). The results show that the ARMA model performs best overall. Based on
the results that the ARMA model is the best overall, basis forecasts from the ARMA model are
used to simulate a selective long hedge where a long hedge is placed only when the basis will
have weakened over the hedging period. The net buying price (NBP) from the selective long
hedge is compared in pairs with the objective price of the traditional long hedge. The simulation
results show that the NBP from the selective long hedge is significantly lower than the objective
price of the traditional long hedge over the hedging period of 5 and 6 months.
논문파일 KJAE(2021-Vol62No03)-Korean-02.pdf