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Information Journal Paper

Title

Risk Management of Selected Products Imported by Iranian Agriculture Using quasi-futures contracts

Pages

  27-55

Abstract

 The present study aims to provide a model for covering price risks in Iranian importers of agricultural commodities. 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 (CME) during the period 05/01/2010 to 06/08/2018. The data were analyzed for two situations as follows: 1-Futures contracts can be traded. 2-Futures contracts cannot be traded. One of such methods in the dynamic state is Markov switching Garch model. The application of the Markov switching Garch model produced a high volatility and a low volatility regime. In case the quasi futures contracts are used, the optimal risk coverage ratio for the soybean and corn products would respectively be equal with 0. 849 and 0. 9065; while the efficiency of the risk coverage would be respectively equal to 82 and 78 percent for these two products.

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    • Cite

    APA: Copy

    Khodavirdi, Omid, MEHRARA, MOHSEN, Rezaee, Majid, & KIAALHOSEINI, SEYED ZIAODDIN. (2019). Risk Management of Selected Products Imported by Iranian Agriculture Using quasi-futures contracts. JOURNAL OF ECONOMIC MODELING, 4(1 (12) ), 27-55. SID. https://sid.ir/paper/388303/en

    Vancouver: Copy

    Khodavirdi Omid, MEHRARA MOHSEN, Rezaee Majid, KIAALHOSEINI SEYED ZIAODDIN. Risk Management of Selected Products Imported by Iranian Agriculture Using quasi-futures contracts. JOURNAL OF ECONOMIC MODELING[Internet]. 2019;4(1 (12) ):27-55. Available from: https://sid.ir/paper/388303/en

    IEEE: Copy

    Omid Khodavirdi, MOHSEN MEHRARA, Majid Rezaee, and SEYED ZIAODDIN KIAALHOSEINI, “Risk Management of Selected Products Imported by Iranian Agriculture Using quasi-futures contracts,” JOURNAL OF ECONOMIC MODELING, vol. 4, no. 1 (12) , pp. 27–55, 2019, [Online]. Available: https://sid.ir/paper/388303/en

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