While the risk premium hypothesis in futures markets has been the subject of a long and continuous controversy, the risk premium hypothesis in forward markets is also of interest among economists. The hypothesis is supported by some theoretical arguments and empirical evidence yet remains an...

The optimal hedging model has become the standard theoretical model of normative hedging behavior due to its intuitive tradeoff of expected return with risk, its effcient use of information and its easy implementation. In practice, the model can be easily implemented with the Parameter Certainty...

While the risk premium hypothesis in futures markets has been the subject of a long and continuous controversy, the risk premium hypothesis in forward markets is also of interest among economists. The hypothesis is supported by some theoretical arguments and empirical evidence yet remains an...

We model a futures exchange's clearinghouse as a "bank" holding a portfolio of credit lines available to its clearing members and collateralized with clearing margins or, equivalently, a portfolio of short European put basket options. Consequently, the "bank" model measures the clearinghouse's...

This report presents marketing profiles and loan deficiency payment/marketing loan gain profiles for the advisory services followed by the AgMAS Project for the 1995 through 2000 corn crops. Marketing profiles are constructed by plotting the cumulative net amount priced under each program's set...

This report presents marketing profiles and loan deficiency payment/marketing loan gain profiles for the advisory services followed by the AgMAS Project for the 1995 through 2000 soybean crops. Marketing profiles are constructed by plotting the cumulative net amount priced under each program's...

This report presents marketing profiles and loan deficiency payment/marketing loan gain profiles for the advisory services followed by the AgMAS Project for the 2002, 2003 and 2004 soybean crops. Marketing profiles are constructed by plotting the cumulative net amount priced under each...

This report presents marketing profiles and loan deficiency payment/marketing loan gain profiles for the advisory services followed by the AgMAS Project for the 2002, 2003 and 2004 corn crops. Marketing profiles are constructed by plotting the cumulative net amount priced under each program’s...

The cost of forward contracting corn is estimated with weekly pre-harvest forward bases for seven regions of Illinois from 1975 to 2002. Given the panel structure of the forward basis dataset, we extend Townsend and Brorsen's univariate unit root model for forward bases to a panel unit root...

We develop a Bayesian implementation of the standard optimal hedging model to analyze the impact of hedgers' subjective views on their hedging behavior. The results show the subjective views have a substantial impact on hedgers' optimal positions, explaining the large cross-sectional and time...