{"title":"对冲粮食价格风险。保持简单!粮食市场的计量经济学证据,1982-2024","authors":"Marie Steen, Sjur Westgaard, Ole Gjolberg","doi":"10.1016/j.jcomm.2025.100503","DOIUrl":null,"url":null,"abstract":"<div><div>This paper evaluates the effectiveness of seven hedging strategies for reducing price risk in the U.S. grain market. The strategies are ranging from a naïve “one-for-one” hedge to advanced econometric models such as Error Correction Models and GARCH, allowing for time-varying volatility. Using monthly data for corn, wheat, and soybeans 1982–2024 for conducting out-of-sample evaluations 1997–2024, we assess whether complex models provide meaningful advantages over simpler approaches. We find that while all strategies substantially reduce risk, simpler models perform comparably to more sophisticated ones in terms of standard deviation, Value-at-Risk, and Expected Shortfall. The results remain robust to different sub-samples and estimation windows.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100503"},"PeriodicalIF":4.5000,"publicationDate":"2025-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Hedging grain price risk. Keep it simple! Econometric evidence from the grain markets, 1982–2024\",\"authors\":\"Marie Steen, Sjur Westgaard, Ole Gjolberg\",\"doi\":\"10.1016/j.jcomm.2025.100503\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>This paper evaluates the effectiveness of seven hedging strategies for reducing price risk in the U.S. grain market. The strategies are ranging from a naïve “one-for-one” hedge to advanced econometric models such as Error Correction Models and GARCH, allowing for time-varying volatility. Using monthly data for corn, wheat, and soybeans 1982–2024 for conducting out-of-sample evaluations 1997–2024, we assess whether complex models provide meaningful advantages over simpler approaches. We find that while all strategies substantially reduce risk, simpler models perform comparably to more sophisticated ones in terms of standard deviation, Value-at-Risk, and Expected Shortfall. The results remain robust to different sub-samples and estimation windows.</div></div>\",\"PeriodicalId\":45111,\"journal\":{\"name\":\"Journal of Commodity Markets\",\"volume\":\"39 \",\"pages\":\"Article 100503\"},\"PeriodicalIF\":4.5000,\"publicationDate\":\"2025-08-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Commodity Markets\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2405851325000479\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Commodity Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2405851325000479","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Hedging grain price risk. Keep it simple! Econometric evidence from the grain markets, 1982–2024
This paper evaluates the effectiveness of seven hedging strategies for reducing price risk in the U.S. grain market. The strategies are ranging from a naïve “one-for-one” hedge to advanced econometric models such as Error Correction Models and GARCH, allowing for time-varying volatility. Using monthly data for corn, wheat, and soybeans 1982–2024 for conducting out-of-sample evaluations 1997–2024, we assess whether complex models provide meaningful advantages over simpler approaches. We find that while all strategies substantially reduce risk, simpler models perform comparably to more sophisticated ones in terms of standard deviation, Value-at-Risk, and Expected Shortfall. The results remain robust to different sub-samples and estimation windows.
期刊介绍:
The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.