| 초록 |
This study primarily aims to estimate the hedge ratio and evaluate the hedging effectiveness for U.S. imported grain. Statistical models employed include 1:1 simple hedge model, ordinary least squares(OLS) model and error correction model(ECM). Hedging horizons for 1, 2, 4 and 6 week are considered, and the out-of-sample hedging effectiveness is evaluated for corn and soybeans. The results show that compared with the 1:1 simple hedge model, both the ordinary least squares(OLS) model and error correction model(ECM) yield lower hedge ratios, with the same level of hedging performances. By employing either the ordinary least squares(OLS) model or the error correction model(ECM) other than the conventional 1:1 simple hedge model, a long hedger would save transaction costs such as brokerage fee and margin.
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