Export/Import risks at alternative stages of U.S. grain export trade

Hauser, Robert J.; Neff, David

doi:10.1002/fut.3990130602

Cited by 10 publications

(4 citation statements)

References 10 publications

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“…R1 is available in both index form and in U.S.$ per metric ton. The freight futures price is reported in index form, but, following Hauser and Neff (1993), is converted to a U.S. dollar figure.…”

Section: Data and Preliminary Time-series Analysismentioning

confidence: 99%

Hedging foreign currency, freight, and commodity futures portfolios—A note

Haigh

Holt

2002

Journal of Futures Markets

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Foreign exchange hedging ratios are simultaneously estimated alongside freight and commodity ratios in a time-varying portfolio framework. Foreign exchange futures are by far the most important derivative instrument used to reduce uncertainty for traders. Our results lend support to the decision by the London International Financial Futures Exchange to cease trading the Baltic International Freight Futures Exchange freight futures contract because of its low levels of trading activity that likely resulted from its apparent unattractiveness as a hedging instrument.

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Section: Data and Preliminary Time-series Analysismentioning

confidence: 99%

Hedging foreign currency, freight, and commodity futures portfolios—A note

Haigh

Holt

2002

Journal of Futures Markets

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“…2 Another area of research has concentrated on the effectiveness of the BIFFEX freight futures contract in a risk-management/hedging setting. A partial listing includes: Thoung and Visscher (1990), Hauser and Neff (1993), and Holt (1999, 2000).…”

Section: Introductionmentioning

confidence: 99%

Cointegration, unbiased expectations, and forecasting in the BIFFEX freight futures market

Haigh

2000

J. Fut. Mark.

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“…Following Hauser and Neff (1993) and Haigh and Holt (2002), the currency futures prices in the last term of Eq. (1) are multiplied by the grain export prices to make the currency futures hedge ratio an equivalent unit to the commodity futures hedge ratio.…”

Section: Introductionmentioning

confidence: 99%

“…The other line consists of offshore hedging studies for international traders (Thompson and Bond, 1987;Fung and Lai, 1991;Kroner and Sultan, 1993;Hauser and Neff, 1993;Holt, 2000, 2002). While other offshore hedging studies have not paid attention to hedging costs, the studies by Kroner and Sultan, and Haigh and Holt considered the commission fees associated with hedging into a mean-variance framework; however, they did not explicitly include it in the hedge ratio estimation.…”

Section: Introductionmentioning

confidence: 99%