Design of quasi futures contract

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Khodavirdi Omid; MEHRARA MOHSEN; Rezaee Majid; Kia Aloseini Seid Zia Addin

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Journal: Journal of Economic Studies and Policies Year:2019 | Volume:14 | Issue:2 (110) Page(s): 3-28

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Title

Design of quasi futures contract

Author(s)

Khodavirdi Omid | MEHRARA MOHSEN | Rezaee Majid | Kia Aloseini Seid Zia Addin | Issue Writer Certificate

Keywords

The optimal hedge ratioQ2

Spot exchange rateQ1

futures marketQ1

Markov switching modelQ2

Abstract

The present study aims to provide a model for covering price risks in Iranian importers of agricultural commodities, which may help prevent adverse effects of price fluctuations. The proposed model uses futures-like contracts for agricultural commodity imports. In order to assess the efficiency of the model, daily spot and futures prices of soybeans and corn were collected from the Chicago Mercantile Exchange during the period 05/01/2010 to 06/08/2018. The method of the optimal risk coverage ratio bears crucial importance in these two situations. In the first case, using the Markov switching method, the optimal risk coverage ratio for corn was shown to be 0. 966572 and 0. 0051858 in the zero and one regimes, respectively. The ratio for soybeans was computed to be 0. 977403 and 0. 019816 in the zero and one regimes, respectively. Thus, real-world risk coverage should be obtained through using futures-like contracts. optimal risk coverage ratio for soybeans and corn would be 0. 849 and 0. 9065, respectively, while the efficiency of risk coverage for them would be 82% and 78%, respectively.

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APA: Copy

Khodavirdi, Omid, MEHRARA, MOHSEN, Rezaee, Majid, & Kia Aloseini, Seid Zia Addin. (2019). Design of quasi futures contract. JOURNAL OF ECONOMIC STUDIES AND POLICIES, 14(2 (110) ), 3-28. SID. https://sid.ir/paper/382599/en

Vancouver: Copy

Khodavirdi Omid, MEHRARA MOHSEN, Rezaee Majid, Kia Aloseini Seid Zia Addin. Design of quasi futures contract. JOURNAL OF ECONOMIC STUDIES AND POLICIES[Internet]. 2019;14(2 (110) ):3-28. Available from: https://sid.ir/paper/382599/en

IEEE: Copy

Omid Khodavirdi, MOHSEN MEHRARA, Majid Rezaee, and Seid Zia Addin Kia Aloseini, “Design of quasi futures contract,” JOURNAL OF ECONOMIC STUDIES AND POLICIES, vol. 14, no. 2 (110) , pp. 3–28, 2019, [Online]. Available: https://sid.ir/paper/382599/en

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